ConformableMatrix

Compute the list of matrices with correct dimensions to pass later in the computation

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

ConformableMatrix function

<dl><dt>mat.y</dt>
<dd>The matrix object of time series</dd>
<dt>q</dt>
<dd>The chosen lag</dd>
<dt>mat.x</dt>
<dd>The matrix of optional covariates</dd>
<dt>trend</dt>
<dd>Whether we add a trend. Default = FALSE</dd>
<dt>intercept</dt>
<dd>Whether the break test is on the intercept only. Default = TRUE</dd></dl>

Arguments

ConformableMatrix — ConformableMatrix

<dl>

<dt>mat.y</dt>
<dd>The matrix object of time series</dd>


<dt>q</dt>
<dd>The chosen lag</dd>


<dt>mat.x</dt>
<dd>The matrix of optional covariates</dd>


<dt>trend</dt>
<dd>Whether we add a trend. Default = FALSE</dd>


<dt>intercept</dt>
<dd>Whether the break test is on the intercept only. Default = TRUE</dd>

</dl>

ConformableMatrix: ConformableMatrix

Description

Usage

Value

Arguments

Examples