Description Usage Arguments Value Author(s) References Examples
Function returns the test statistics for the presence of co-breaks in a set of multivariate time series.
1 | multiCUMSUM(data, conf.level = 0.95, max.breaks = 7)
|
data |
a |
conf.level |
Confidence level. By default set to 0.95 |
max.breaks |
Integer, determines the highest number of common breaks from 1 to 7. |
Lambda Test statistics |
a matrix of test statistics on the presence of a number of co-break equal to |
Omega Test statistics |
a matrix of test statistics on the presence of a number of co-break equal to |
Break location |
the index and the Date where the common breaks are located |
Andrea Bucci and Giulio Palomba
Aue A., Hormann S., Horvath L.and Reimherr M. (2009), Break detection in the covariance structure of multivariate time series models. The Annals of Statistics. 37: 4046-4087 Bai J., Lumsdaine R. L. and Stock J. H. (1998), Testing For and Dating Common Breaks in Multivariate Time Series. Review of Economic Studies. 65: 395-432 Barassi M., Horvath L. and Yuqian Z. (2018), Change-Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. Journal of Business \& Economic Statistics
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