Package: CPAT 0.1.0

CPAT: 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.

Authors:Curtis Miller [aut, cre]

CPAT_0.1.0.tar.gz
CPAT_0.1.0.zip(r-4.5)CPAT_0.1.0.zip(r-4.4)CPAT_0.1.0.zip(r-4.3)
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CPAT.pdf |CPAT.html✨
CPAT/json (API)
NEWS

# Install 'CPAT' in R:
install.packages('CPAT', repos = c('https://ntguardian.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/ntguardian/cpat/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • banks - Bank Portfolio Returns
  • ff - Fama-French Five Factors

On CRAN:

changepointstatisticstests

5.36 score 11 stars 42 scripts 198 downloads 299 mentions 5 exports 11 dependencies

Last updated 6 years agofrom:e490484bad. Checks:OK: 1 NOTE: 8. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 05 2024
R-4.5-win-x86_64NOTENov 05 2024
R-4.5-linux-x86_64NOTENov 05 2024
R-4.4-win-x86_64NOTENov 05 2024
R-4.4-mac-x86_64NOTENov 05 2024
R-4.4-mac-aarch64NOTENov 05 2024
R-4.3-win-x86_64NOTENov 05 2024
R-4.3-mac-x86_64NOTENov 05 2024
R-4.3-mac-aarch64NOTENov 05 2024

Exports:Andrews.testCUSUM.testDE.testHR.testHS.test

Dependencies:cligluelifecyclemagrittrpurrrrbibutilsRcppRcppArmadilloRdpackrlangvctrs

Readme and manuals

Help Manual

Help pageTopics
Package Attach Hook Function.onAttach
Concatenate (With Space)%s%
Concatenate (Without Space)%s0%
Univariate Andrews Test for End-of-Sample Structural Changeandrews_test
Multivariate Andrews' Test for End-of-Sample Structural Changeandrews_test_reg
Andrews' Test for End-of-Sample Structural ChangeAndrews.test
Bank Portfolio Returnsbanks
Create Package Startup MessageCPAT_startup_message
Variance Estimation Consistent Under Changecpt_consistent_var
CUSUM TestCUSUM.test
Darling-Erdös TestDE.test
Rényi-Type Statistic Limiting Distribution Density FunctiondZn
Fama-French Five Factorsff
Long-Run Variance Estimation With Possible Change Pointsget_lrv_vec
Weights for Long-Run VariancegetLongRunWeights
Rényi-Type TestHR.test
Hidalgo-Seo TestHS.test
Darling-Erdös Statistic CDFpdarling_erdos
Hidalgo-Seo Statistic CDFphidalgo_seo
Kolmogorov CDFpkolmogorov
Rènyi-Type Statistic CDFpZn
Darling-Erdös Statistic Limiting Distribution Quantile Functionqdarling_erdos
Hidalgo-Seo Statistic Limiting Distribution Quantile Functionqhidalgo_seo
Kolmogorov Distribution Quantile Functionqkolmogorov
Rènyi-Type Statistic Quantile FunctionqZn
Simulate Univariate Data With a Single Change Pointrchangepoint
Darling-Erdös Statistic Simulationsim_de_stat
Hidalgo-Seo Statistic Simulationsim_hs_stat
CUSUM Statistic Simulation (Assuming Variance)sim_Vn
CUSUM Statistic Simulationsim_Vn_stat
Rènyi-Type Statistic Simulation (Assuming Variance)sim_Zn
Rènyi-Type Statistic Simulationsim_Zn_stat
Compute the Darling-Erdös Statisticstat_de
Compute the Hidalgo-Seo Statisticstat_hs
Compute the CUSUM Statisticstat_Vn
Compute the Rényi-Type Statisticstat_Zn