HS.test: Hidalgo-Seo Test

In ntguardian/CPAT: Change Point Analysis Tests

Description

Performs the (univariate) Hidalgo-Seo test for change in mean, as described in \insertCitehorvathricemiller19CPAT. This is effectively an interface to stat_hs; see its documentation for more details. p-values are computed using phidalgo_seo, which represents the limiting distribution of the test statistic when the null hypothesis is true.

Usage

HS.test(x, corr = TRUE, stat_plot = FALSE)

Arguments

x	Data to test for change in mean
corr	If TRUE, the long-run variance will be computed under the assumption of correlated residuals; ignored if custom_var is not NULL or use_kernel_var is TRUE
stat_plot	Whether to create a plot of the values of the statistic at all potential change points

Value

A htest-class object containing the results of the test

References

\insertAllCited

Examples

HS.test(rnorm(1000))
HS.test(rnorm(1000), corr = FALSE)

ntguardian/CPAT documentation built on May 22, 2019, 2:20 p.m.