# plot.efp

0th

Percentile

##### Plot Empirical Fluctuation Process

Plot and lines method for objects of class "efp"

Keywords
hplot
##### Usage
# S3 method for efp
plot(x, alpha = 0.05, alt.boundary = FALSE, boundary = TRUE,
functional = "max", main = NULL,  ylim = NULL,
ylab = "Empirical fluctuation process", ...)
# S3 method for efp
lines(x, functional = "max", ...)
##### Arguments
x

an object of class "efp".

alpha

numeric from interval (0,1) indicating the confidence level for which the boundary of the corresponding test will be computed.

alt.boundary

logical. If set to TRUE alternative boundaries (instead of the standard linear boundaries) will be plotted (for CUSUM processes only).

boundary

logical. If set to FALSE the boundary will be computed but not plotted.

functional

indicates which functional should be applied to the process before plotting and which boundaries should be used. If set to NULL a multiple process with boundaries for the "max" functional is plotted. For more details see below.

main, ylim, ylab, ...

high-level plot function parameters.

##### Details

Plots are available for the "max" functional for all process types. For Brownian bridge type processes the maximum or mean squared Euclidean norm ("maxL2" and "meanL2") can be used for aggregating before plotting. No plots are available for the "range" functional.

Alternative boundaries that are proportional to the standard deviation of the corresponding limiting process are available for processes with Brownian motion or Brownian bridge limiting processes.

##### Value

efp returns an object of class "efp" which inherits from the class "ts" or "mts" respectively. The function plot has a method to plot the empirical fluctuation process; with sctest the corresponding test for structural change can be performed.

##### References

Brown R.L., Durbin J., Evans J.M. (1975), Techniques for testing constancy of regression relationships over time, Journal of the Royal Statistical Society, B, 37, 149-163.

Chu C.-S., Hornik K., Kuan C.-M. (1995), MOSUM tests for parameter constancy, Biometrika, 82, 603-617.

Chu C.-S., Hornik K., Kuan C.-M. (1995), The moving-estimates test for parameter stability, Econometric Theory, 11, 669-720.

Kr<e4>mer W., Ploberger W., Alt R. (1988), Testing for structural change in dynamic models, Econometrica, 56, 1355-1369.

Kuan C.-M., Hornik K. (1995), The generalized fluctuation test: A unifying view, Econometric Reviews, 14, 135 - 161.

Kuan C.-M., Chen (1994), Implementing the fluctuation and moving estimates tests in dynamic econometric models, Economics Letters, 44, 235-239.

Ploberger W., Kr<e4>mer W. (1992), The CUSUM test with OLS residuals, Econometrica, 60, 271-285.

Zeileis A., Leisch F., Hornik K., Kleiber C. (2002), strucchange: An R Package for Testing for Structural Change in Linear Regression Models, Journal of Statistical Software, 7(2), 1-38. URL http://www.jstatsoft.org/v07/i02/.

Zeileis A. (2004), Alternative Boundaries for CUSUM Tests, Statistical Papers, 45, 123--131.

efp, boundary.efp, sctest.efp

• plot.efp
• lines.efp
##### Examples
# NOT RUN {
## Load dataset "nhtemp" with average yearly temperatures in New Haven
data("nhtemp")
## plot the data
plot(nhtemp)

## test the model null hypothesis that the average temperature remains
## constant over the years
## compute Rec-CUSUM fluctuation process
temp.cus <- efp(nhtemp ~ 1)
## plot the process
plot(temp.cus, alpha = 0.01)
## and calculate the test statistic
sctest(temp.cus)

## compute (recursive estimates) fluctuation process
## with an additional linear trend regressor
lin.trend <- 1:60
temp.me <- efp(nhtemp ~ lin.trend, type = "fluctuation")
## plot the bivariate process
plot(temp.me, functional = NULL)
## and perform the corresponding test
sctest(temp.me)
# }

Documentation reproduced from package strucchange, version 1.5-2, License: GPL-2 | GPL-3

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