ConfidenceInterval

Compute the confidence interval in time unit.

Flexible implementation of a structural change point detection algorithm for multivariate time series.
It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system.
Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.

Loic Marechal

multibreakeR

Tests for a Structural Change in Multivariate Time Series

ConfidenceInterval function

<dl><dt>mat.g</dt>
<dd>A matrix object of time series</dd>
<dt>mat.s</dt>
<dd>A selection matrix</dd>
<dt>mat.sigma</dt>
<dd>The covariance matrix</dd>
<dt>mat.r</dt>
<dd>The selection vector of parameters</dd>
<dt>mat.beta</dt>
<dd>The matrix of parameters</dd>
<dt>cv</dt>
<dd>A vector of critical values</dd>
<dt>p</dt>
<dd>The length of the vector</dd></dl>

Arguments

ConfidenceInterval — ConfidenceInterval

<dl>

<dt>mat.g</dt>
<dd>A matrix object of time series</dd>


<dt>mat.s</dt>
<dd>A selection matrix</dd>


<dt>mat.sigma</dt>
<dd>The covariance matrix</dd>


<dt>mat.r</dt>
<dd>The selection vector of parameters</dd>


<dt>mat.beta</dt>
<dd>The matrix of parameters</dd>


<dt>cv</dt>
<dd>A vector of critical values</dd>


<dt>p</dt>
<dd>The length of the vector</dd>

</dl>

ConfidenceInterval: ConfidenceInterval

Description

Usage

Value

Arguments