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.

Change Point Analysis Tests

package-ubuntu-20.04-r-4.0.5#cran#CPAT-0.1.0

CDF of the limiting distribution of the Hidalgo-Seo statistic

<table summary="R argblock"><tr valign="top">
<td><code>q</code></td>
<td>
Quantile input to CDF
</td>
</tr></table>

If Z is the random variable following the limiting
distribution, the quantity P(Z ≤q q)

package-ubuntu-20.04-r-4.0.5#cran#CPAT-0.1.0#docs#phidalgo_seo

phidalgo_seo

Description

Usage

Arguments

Value

Examples

CPAT

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