In MasimovR/VARCP:

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  fig.path = "README-"
)

VARCP

# 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")

MasimovR/VARCP documentation built on May 28, 2019, 1:48 p.m.