Re: [R] Offline change detection methods?

About this list Date view Thread view Subject view Author view Attachment view

From: Achim Zeileis (zeileis@ci.tuwien.ac.at)
Date: Tue 11 Sep 2001 - 02:41:06 EST 

Message-id: <3B9CED22.D8DC3350@ci.tuwien.ac.at>

Henrik Bengtsson wrote:
>
> Dear [R] people, I am looking for a method to test if there are any
> changes (jump points) in a time series data set or not.

The package "strucchange" offers a couple of methods to test whether
there are any jump points or not. In the regression context it's just
regression with a constant, i.e. formulas of type y ~ 1.

> If there are, I would like to identify the jump points.

With the methods in "strucchange" you can do so visually by interpreting
empirical fluctuation processes, see efp() in "strucchange".
An algorithm for estimating the number/location of the breakpoints is
not implemented (yet). But I've got a preliminary version of a function
for this task, which I can send you.

You will also find some references for structural change tests in the
help pages of "strucchange".

Achim
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request@stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._

About this list Date view Thread view Subject view Author view Attachment view

This archive was generated by hypermail 2.1.3 : Thu 17 Jan 2002 - 11:10:06 EST