Description Usage Arguments Value References Examples
Performs the (univariate) CUSUM test for change in mean, as described in
\insertCitehorvathricemiller19CPAT. This is effectively an interface to
stat_Vn
; see its documentation for more details. p-values are
computed using pkolmogorov
, which represents the limiting
distribution of the statistic under the null hypothesis.
1 2 | CUSUM.test(x, use_kernel_var = FALSE, stat_plot = FALSE,
kernel = "ba", bandwidth = "and")
|
x |
Data to test for change in mean |
use_kernel_var |
Set to |
stat_plot |
Whether to create a plot of the values of the statistic at all potential change points |
kernel |
If character, the identifier of the kernel function as used in
cointReg (see |
bandwidth |
If character, the identifier for how to compute the
bandwidth as defined in cointReg (see
|
A htest
-class object containing the results of the test
1 2 3 | CUSUM.test(rnorm(1000))
CUSUM.test(rnorm(1000), use_kernel_var = TRUE, kernel = "bo",
bandwidth = "nw")
|
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