Some Nonparametric CUSUM Tests for Change-Point Detection in
Possibly Multivariate Observations
Description
Provides nonparametric CUSUM tests for detecting changes
in possibly serially dependent univariate or multivariate
observations. Offline tests sensitive to changes in the expectation,
the variance, the covariance, the autocovariance, the distribution
function, Spearman's rho, Kendall's tau, Gini's mean difference, and
the copula are provided, as well as a test for detecting changes in
the distribution of independent block maxima (with environmental
studies in mind). The package also contains a test sensitive to
changes in the autocopula and a combined test of stationarity
sensitive to changes in the distribution function and the
autocopula. The latest addition is a sequential test based on
empirical distribution functions that can be used for monitoring
changes in the contemporary distribution of possibly serially
dependent univariate or multivariate observations.