ntguardian/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

MaintainerCurtis Miller <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
ntguardian/CPAT documentation built on May 22, 2019, 2:20 p.m.