Distribution-free changepoint detection tests based on the breaking of records
arXiv:2105.08186 · doi:10.1007/s10651-022-00539-2
Abstract
The analysis of record-breaking events is of interest in fields such as climatology, hydrology or anthropology. In connection with the record occurrence, we propose three distribution-free statistics for the changepoint detection problem. They are CUSUM-type statistics based on the upper and/or lower record indicators observed in a series. Using a version of the functional central limit theorem, we show that the CUSUM-type statistics are asymptotically Kolmogorov distributed. The main results under the null hypothesis are based on series of independent and identically distributed random variables, but a statistic to deal with series with seasonal component and serial correlation is also proposed. A Monte Carlo study of size, power and changepoint estimate has been performed. Finally, the methods are illustrated by analyzing the time series of temperatures at Madrid, Spain. The R package publicly available on CRAN implements the proposed methods.
22 pages, 7 figures, 2 tables; major revision