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. Retrospective 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 additions are a closed-end 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, and an
open-end sequential test based on the retrospective CUSUM statistic
that can be used for monitoring changes in the mean of possibly
serially dependent univariate observations.