Change Point Analysis Tests

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Documentation for package ‘CPAT’ version 0.1.0

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%s% Concatenate (With Space)
%s0% Concatenate (Without Space)
.onAttach Package Attach Hook Function
Andrews.test Andrews' Test for End-of-Sample Structural Change
andrews_test Univariate Andrews Test for End-of-Sample Structural Change
andrews_test_reg Multivariate Andrews' Test for End-of-Sample Structural Change
banks Bank Portfolio Returns
CPAT_startup_message Create Package Startup Message
cpt_consistent_var Variance Estimation Consistent Under Change
CUSUM.test CUSUM Test
DE.test Darling-Erdös Test
dZn Rényi-Type Statistic Limiting Distribution Density Function
ff Fama-French Five Factors
getLongRunWeights Weights for Long-Run Variance
get_lrv_vec Long-Run Variance Estimation With Possible Change Points
HR.test Rényi-Type Test
HS.test Hidalgo-Seo Test
pdarling_erdos Darling-Erdös Statistic CDF
phidalgo_seo Hidalgo-Seo Statistic CDF
pkolmogorov Kolmogorov CDF
pZn Rčnyi-Type Statistic CDF
qdarling_erdos Darling-Erdös Statistic Limiting Distribution Quantile Function
qhidalgo_seo Hidalgo-Seo Statistic Limiting Distribution Quantile Function
qkolmogorov Kolmogorov Distribution Quantile Function
qZn Rčnyi-Type Statistic Quantile Function
rchangepoint Simulate Univariate Data With a Single Change Point
sim_de_stat Darling-Erdös Statistic Simulation
sim_hs_stat Hidalgo-Seo Statistic Simulation
sim_Vn CUSUM Statistic Simulation (Assuming Variance)
sim_Vn_stat CUSUM Statistic Simulation
sim_Zn Rčnyi-Type Statistic Simulation (Assuming Variance)
sim_Zn_stat Rčnyi-Type Statistic Simulation
stat_de Compute the Darling-Erdös Statistic
stat_hs Compute the Hidalgo-Seo Statistic
stat_Vn Compute the CUSUM Statistic
stat_Zn Compute the Rényi-Type Statistic