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. 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.

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