npcp

MaRDI QIDQ26296swMATHCRANFDO

Authors Ivan Kojadinovic

Last update 18 October 2024

Copyright license GNU General Public License, File License

Software version identifier 0.2-5, PACKAGES.rds, 0.0-1, 0.1-0, 0.1-1, 0.1-6, 0.1-7, 0.1-9, 0.1-10, 0.1-11, 0.2-0, 0.2-2, 0.2-4, 0.2-6

Official website https://cran.r-project.org/web/packages/npcp/index.html

Source code repository https://github.com/cran/npcp

Description

Provides nonparametric CUSUM tests for detecting changes in possibly serially dependent univariate or low-dimensional 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 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, as well as closed-end and open-end sequential tests based on empirical distribution functions that can be used for monitoring changes in the contemporary distribution of possibly serially dependent univariate or low-dimensional multivariate observations.

Cited in

(19)

• Detecting changes in cross-sectional dependence in multivariate time series
• changepointTests
• Detecting distributional changes in samples of independent block maxima using probability weighted moments
• copula
• Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
• Open-end nonparametric sequential change-point detection based on the retrospective CUSUM statistic
• Change-point problems for multivariate time series using pseudo-observations
• Detecting and modeling changes in a time series of proportions
• Detecting breaks in the dependence of multivariate extreme-value distributions
• TwoCop
• copula
• Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
• Testing the constancy of Spearman's rho in multivariate time series
• locits
• fractal
• costat
• lcopula
• copulaData
• Elements of Copula Modeling with R

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