Distribution-Free Changepoint Detection Tests Based on the Breaking of Records
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The analysis of record-breaking events is of interest in fields such as climatology, hydrology, economy or sports. 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 which occur 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 package publicly available on CRAN implements the proposed methods.
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