The R package RecordTest provides exploratory data analysis and inference tools based on theory of records to describe the record occurrence and detect trends and change-points in time series. In particular, RecordTest consists of graphical tools, distribution-free tests for trend in location, variation or non-stationarity in the tails, and change-point detection tests, all of them based on the record occurrence.
You can install the stable version from CRAN.
install.packages("RecordTest")You can install the development version from GitHub
# install.packages("remotes")
remotes::install_github("JorgeCastilloMateo/RecordTest")Get started in RecordTest with the vignettes
vignette("RecordTest")Castillo-Mateo J (2022). “RecordTest: Inference Tools in Time Series Based on Record Statistics.” R package version 2.1.1. https://CRAN.R-project.org/package=RecordTest
Castillo-Mateo J (2022). “Distribution-Free Changepoint Detection Tests Based on the Breaking of Records.” Environmental and Ecological Statistics, 29(3), 655-676. doi:10.1007/s10651-022-00539-2
Cebrián AC, Castillo-Mateo J, Asín J (2022). “Record Tests to Detect Non Stationarity in the Tails with an Application to Climate Change.” Stochastic Environmental Research and Risk Assessment, 36(2): 313-330. doi:10.1007/s00477-021-02122-w
Diersen J, Trenkler G (1996). “Records Tests for Trend in Location.” Statistics, 28(1), 1-12. doi:10.1080/02331889708802543
Foster FG, Stuart A (1954). “Distribution-Free Tests in Time-Series Based on the Breaking of Records.” Journal of the Royal Statistical Society. Series B (Methodological), 16(1), 1-22.