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CPAT (version 0.1.0)

Change Point Analysis Tests

Description

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

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Version

Install

install.packages('CPAT')

Monthly Downloads

220

Version

0.1.0

License

MIT + file LICENSE

Maintainer

Curtis Miller

Last Published

December 25th, 2018

Functions in CPAT (0.1.0)

dZn

R<U+00E9>nyi-Type Statistic Limiting Distribution Density Function
pdarling_erdos

Darling-Erd<U+00F6>s Statistic CDF
sim_Vn_stat

CUSUM Statistic Simulation
sim_Vn

CUSUM Statistic Simulation (Assuming Variance)
getLongRunWeights

Weights for Long-Run Variance
stat_Zn

Compute the R<U+00E9>nyi-Type Statistic
qkolmogorov

Kolmogorov Distribution Quantile Function
stat_Vn

Compute the CUSUM Statistic
rchangepoint

Simulate Univariate Data With a Single Change Point
ff

Fama-French Five Factors
%s0%

Concatenate (Without Space)
andrews_test_reg

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

Long-Run Variance Estimation With Possible Change Points
.onAttach

Package Attach Hook Function
pZn

R<U+00E8>nyi-Type Statistic CDF
sim_Zn_stat

R<U+00E8>nyi-Type Statistic Simulation
sim_Zn

R<U+00E8>nyi-Type Statistic Simulation (Assuming Variance)
sim_de_stat

Darling-Erd<U+00F6>s Statistic Simulation
%s%

Concatenate (With Space)
pkolmogorov

Kolmogorov CDF
qdarling_erdos

Darling-Erd<U+00F6>s Statistic Limiting Distribution Quantile Function
qZn

R<U+00E8>nyi-Type Statistic Quantile Function
stat_de

Compute the Darling-Erd<U+00F6>s Statistic
phidalgo_seo

Hidalgo-Seo Statistic CDF
sim_hs_stat

Hidalgo-Seo Statistic Simulation
qhidalgo_seo

Hidalgo-Seo Statistic Limiting Distribution Quantile Function
stat_hs

Compute the Hidalgo-Seo Statistic
Andrews.test

Andrews' Test for End-of-Sample Structural Change
DE.test

Darling-Erd<U+00F6>s Test
cpt_consistent_var

Variance Estimation Consistent Under Change
CUSUM.test

CUSUM Test
CPAT_startup_message

Create Package Startup Message
HR.test

R<U+00E9>nyi-Type Test
andrews_test

Univariate Andrews Test for End-of-Sample Structural Change
banks

Bank Portfolio Returns
HS.test

Hidalgo-Seo Test