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CPAT

Change Point Analysis Tests

Implements several statistical tests for structural change, specifically the tests featured in Horváth, Rice and Miller (in press): CUSUM (with weighted/trimmed variants), Darling-Erdös, Hidalgo-Seo, Andrews, and the new Rényi-type test.

Functions (36)

Andrews.test

Andrews' Test for End-of-Sample Structural Change

CPAT_startup_message

Create Package Startup Message

CUSUM.test

CUSUM Test

DE.test

Darling-Erdös Test

HR.test

Rényi-Type Test

HS.test

Hidalgo-Seo Test

andrews_test

Univariate Andrews Test for End-of-Sample Structural Change

andrews_test_reg

Multivariate Andrews' Test for End-of-Sample Structural Change

banks

Bank Portfolio Returns

cpt_consistent_var

Variance Estimation Consistent Under Change

dZn

Rényi-Type Statistic Limiting Distribution Density Function

dot-onAttach

Package Attach Hook Function

Fama-French Five Factors

getLongRunWeights

Weights for Long-Run Variance

get_lrv_vec

Long-Run Variance Estimation With Possible Change Points

grapes-s-grapes

Concatenate (With Space)

grapes-s0-grapes

Concatenate (Without Space)

pZn

Rènyi-Type Statistic CDF

pdarling_erdos

Darling-Erdös Statistic CDF

phidalgo_seo

Hidalgo-Seo Statistic CDF

pkolmogorov

Kolmogorov CDF

qZn

Rènyi-Type Statistic Quantile Function

qdarling_erdos

Darling-Erdös Statistic Limiting Distribution Quantile Function

qhidalgo_seo

Hidalgo-Seo Statistic Limiting Distribution Quantile Function

qkolmogorov

Kolmogorov Distribution Quantile Function

rchangepoint

Simulate Univariate Data With a Single Change Point

sim_Vn

CUSUM Statistic Simulation (Assuming Variance)

sim_Vn_stat

CUSUM Statistic Simulation

sim_Zn

Rènyi-Type Statistic Simulation (Assuming Variance)

sim_Zn_stat

Rènyi-Type Statistic Simulation

sim_de_stat

Darling-Erdös Statistic Simulation

sim_hs_stat

Hidalgo-Seo Statistic Simulation

stat_Vn

Compute the CUSUM Statistic

stat_Zn

Compute the Rényi-Type Statistic

stat_de

Compute the Darling-Erdös Statistic

stat_hs

Compute the Hidalgo-Seo Statistic

CPAT

Change Point Analysis Tests

v0.1.0

MIT + file LICENSE

Authors

Curtis Miller [aut, cre]

Initial release

2018-12-06

CPAT

Functions (36)

CPAT

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