CPAT: Change Point Analysis Tests

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

Getting started

Package details

AuthorCurtis Miller [aut, cre]
MaintainerCurtis Miller <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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CPAT documentation built on Dec. 26, 2018, 1:03 a.m.