get.cusumprocess: Multivariate CUSUM process Q_T(r)

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

Multivariate CUSUM process Q_T(r)

Description

Multivariate CUSUM process Q_T(r)

Usage

get.cusumprocess(formula, T = NULL)

Arguments

formula	Specification of the linear regression model by an object of the class "formula"
T	Optional length of the training sample for monitoring. For retrospective tests, T should be the sample size. If NULL, T is stet to the sample size. NULL is default.

Value

A matrix containing the multivariate forward CUSUM process Q_T(r)

Examples

T <- 100
u <- rnorm(T,0,1)
x <- rnorm(T,0,1)
y <- c(rep(0,T/2), rep(1,T/2)) + x + u
get.cusumprocess(y~x, T)

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