CPAT: HS.test – R documentation

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HS.test

Hidalgo-Seo Test

Description

Performs the (univariate) Hidalgo-Seo test for change in mean, as described in (Rice et al. ). This is effectively an interface to stat_hs; see its documentation for more details. p-values are computed using phidalgo_seo, which represents the limiting distribution of the test statistic when the null hypothesis is true.

Usage

HS.test(x, corr = TRUE, stat_plot = FALSE)

Arguments

`x`	Data to test for change in mean
`corr`	If `TRUE`, the long-run variance will be computed under the assumption of correlated residuals; ignored if `custom_var` is not `NULL` or `use_kernel_var` is `TRUE`
`stat_plot`	Whether to create a plot of the values of the statistic at all potential change points

Value

A htest-class object containing the results of the test

References

Rice G, Miller C, Horváth L (????). “A new class of change point test of Rényi type.” in-press.

Examples

HS.test(rnorm(1000))
HS.test(rnorm(1000), corr = FALSE)

CPAT

Change Point Analysis Tests

v0.1.0

MIT + file LICENSE

Authors

Curtis Miller [aut, cre]

Initial release

2018-12-06