snht-package

<p>Computes test statistics for the SNHT and robust SNHT test. Additionally,
users may supply a custom function for estimating the mean and standard
deviation, and this function will be used for computing the test statistic.</p>

Implementation of robust and non-robust Standard Normal Homogeneity
Test (SNHT) for changepoint detection. This test statistic is equal sided,
as proposed in "Homogenization of Radiosonde Temperature Time Series Using
Innovation Statistics" by Haimberger, L., 2007. However, the statistic contains
an estimate of sigma^2 in the denominator instead of sigma, which seems to
be a more appropriate value (based on the paper "Homogenization of Swedish
temperature data. Part I: Homogeneity test for linear trends." by Alexandersson,
H., and A. Moberg, 1997).

Josh Browning

snht

snht-package: Robust and Non-Robust Standard Normal Homogeneity Test

Description

Arguments

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