This simple package provides the R code to implement the tests for monitoring the stability of the tail behaviour of a time-series sequence of interest. Reference: Hoga, Y., Wied, D. (2017). Sequential monitoring of the tail behavior of dependent data. Journal of Statistical Planning and Inference, 182, 29-49. The package contains two main files, cv_stat.R and utility.R
The file provides codes for computing the test statistics and the empirical limits of the test statistics.
The file provides all codes that need to run the main functions in the cv_stat.m file.