dfcusum: Distribution Free CUSUM Test

In patakamuri/trendchange: Innovative Trend Analysis and Time-Series Change Point Analysis

Description

Distribution free CUSUM test is used to identify the change point in a series of data.

Usage

dfcusum(x,startyear)

Arguments

x	- Time series data vector
startyear	- Starting of the time series (year!)

Details

The point at which Maximum value of cumulative sum occurs, will indicate the change point in the time series. If the maximum value is equal to or greater than the critical value, it indicates significance of the change point.

Value

CUMSUM values - Cumulative sum series

Maximum CUMSUM Value - Absolute Maximum value in cumulative sum series

90 percent CI - Critical value at 90 percent Confidence Interval (1.228*sqrt(n))

95 percent CI - Critical value at 95 percent Confidence Interval (1.36*sqrt(n))

99 percent CI - Critical value at 99 percent Confidence Interval (1.63*sqrt(n))

References

Grayson, R.B., Argent, R.M., Nathan, R.J., McMahon, T.A. and Mein, R., 1996 Hydrological Recipes: Estimation Techniques in Australian Hydrology. Cooperative Research Centre for Catchment Hydrology, Australia, 125 pp.

Examples

x<-c(Nile)
dfcusum(x,1871)

patakamuri/trendchange documentation built on Jan. 7, 2022, 4:39 a.m.