knitr::opts_chunk$set( collapse = TRUE, comment = "#>", fig.path = "README-" )
# install.packages("devtools") #devtools::install_github("MasimovR/VARCP")
library(VARCP) phi <- matrix(c(0.2,-0.6,0.3,1),2,2) sig <- matrix(c(4,0.8,0.8,1),2,2) m1=VARMAsim(200, arlags = 1, phi=phi, sigma=sig) m2=VARMAsim(200, arlags = 1, phi=phi, sigma=sig*2) m <- rbind(m1$series, m2$series) model <- VAR(m, p = 1)
CUSUM <- statcomp(model, type = "CUSUM") str(CUSUM)
plot(CUSUM, a = 0.01)
changetest(CUSUM)
CUSUM2 <- statcomp(model, type = "CUSUM", trim = 50) plot(CUSUM2)
LRT <- statcomp(model, type = "LRT") DET <- statcomp(model, type = "DARLING-ERDOS")
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.