get.partialcusum: Partial CUSUM process Q_T^*(r)

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

Partial CUSUM process Q_T^*(r)

Description

Partial CUSUM process Q_T^*(r)

Usage

get.partialcusum(formula, T = NULL, H = "intercept")

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.
H	An optional matrix for the partial hypothesis H'β_t = H'β_0. H must have orthonormal columns. If "intercept", H is set to the setting of testing for a break only in the first regressor variable (typically the intercept). "intercept" is default.

Value

A matrix containing the partial 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
H <- matrix(c(1,0), ncol = 1)
get.partialcusum(y~x, T, H=H)

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