changepointTests0.1.7 package

Change Point Tests for Joint Distributions and Copulas

bootstrapfun

Function to perform traditional bootstrap for changepoint

cpCopDStats

Function to compute changepoint statistics

cpCopMultStats

Function to compute bootstrapped changepoint statistics

cpCopMultStatsBKRSNonSeq

Function to compute the bootstrapped statistics for the BKRS process

cpCopMultStatsBKRSSeq

Function to compute the statistics for the BKRS process

cpCopStats

Function to compute the statistics for the traditional empirical proce...

cpCopStatsBKRS

Function to compute the statistics for the BKRS process

emp.cdf

Function to compute the empirical cdf at given points

multiplierDNonSeqfun

Function to perform multiplier bootstrap for changepoint

multiplierDSeqfun

Function to perform multiplier bootstrap for changepoint

multiplierfun

Function to perform multiplier bootstrap for changepoint

test.change.point.copula.BKRS

Function toperform changepoint test for the copula with multiplier boo...

test.change.point

Function to perform changepoint tests with multiplier bootstrap using ...

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Change point tests for joint distributions and copulas using pseudo-observations with multipliers or bootstrap. The processes used here have been defined in Bucher, Kojadinovic, Rohmer & Segers <doi:10.1016/j.jmva.2014.07.012> and Nasri & Remillard <doi:10.1016/j.jmva.2019.03.002>.

  • Maintainer: Bruno N Remillard
  • License: GPL-3
  • Last published: 2024-09-23