README.md

In ottosven/backCUSUM: Backward CUSUM for Testing and Monitoring Structural Change

backCUSUM

The goal of backCUSUM is to provide functionality to apply the methods developed in the paper “Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data” by Sven Otto and Jörg Breitung. The repository also provides code to replicate all simulation results in this paper.

Paper: https://doi.org/10.1017/S0266466622000159

Preprint: https://arxiv.org/abs/2003.02682

Installation

You can install the package using the following command:

library(remotes)
install_github("ottosven/backCUSUM")

Example

This is a basic example:

library(backCUSUM)
T <- 100
breakpoint <- floor(3*T/4)
beta1 = 0
beta2 = 1
u <- rnorm(T,0,1)
y <- c(rep(beta1,breakpoint), rep(beta2,T-breakpoint)) + u
Q.test(y~1)
BQ.test(y~1)
SBQ.test(y~1)
get.recresid(y~1)

ottosven/backCUSUM documentation built on April 12, 2022, 10:59 p.m.