Change Point Analysis Tests

Implements several statistical tests for structural change, specifically the tests featured in Horváth, Rice and Miller (in press): CUSUM (with weighted/trimmed variants), Darling-Erdös, Hidalgo-Seo, Andrews, and the new Rényi-type test.


Reference manual

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0.1.0 by Curtis Miller, 2 months ago

Browse source code at

Authors: Curtis Miller [aut, cre]

Documentation:   PDF Manual  

MIT + file LICENSE license

Imports stats, utils, grDevices, Rdpack, methods, Rcpp, purrr

Suggests cointReg, foreach, doRNG, doParallel, ggplot2, dplyr, tikzDevice, testthat

Linking to Rcpp, RcppArmadillo

System requirements: GNU make

See at CRAN