npcp: Some Nonparametric CUSUM Tests for Change-Point Detection in Possibly Multivariate Observations

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.

Version: 0.2-0
Imports: stats
Suggests: copula
Published: 2020-04-28
Author: Ivan Kojadinovic
Maintainer: Ivan Kojadinovic <ivan.kojadinovic at univ-pau.fr>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
CRAN checks: npcp results

Downloads:

Reference manual: npcp.pdf
Package source: npcp_0.2-0.tar.gz
Windows binaries: r-devel: npcp_0.2-0.zip, r-release: npcp_0.2-0.zip, r-oldrel: npcp_0.2-0.zip
macOS binaries: r-release: npcp_0.2-0.tgz, r-oldrel: npcp_0.2-0.tgz
Old sources: npcp archive

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