crit.Q.Mtest: Critical values for the forward CUSUM monitoring procedure

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

Critical values for the forward CUSUM monitoring procedure

Description

Provides critical values for some selected combinations of k and m for the forward CUSUM monitoring procedure with the linear boundary d(r) = 1+2r for different significance levels.

Usage

crit.Q.Mtest(k, m = Inf, alternative = "two.sided")

Arguments

k	Number of regressors and dimension of the CUSUM process
m	The length of the relative monitoring period; m = Inf for infinite horizon monitoring (default).
alternative	A character string specifying the alternative hypothesis; must be one of "two.sided" (default) or "one.sided".

Value

A list containing the following components:

critical.values	A vector of critical values for different significance levels
m	The value for the length of the relative monitoring period m. If the critical values for the input value of m is not available, the next higher available value is considered.

Examples

crit.Q.Mtest(1,Inf)
crit.Q.Mtest(3,0.5)

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