Change Point Analysis Tests

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Documentation for package ‘CPAT’ version 0.1.0

• DESCRIPTION file.
• Package NEWS.

Help Pages

%s%	Concatenate (With Space)
%s0%	Concatenate (Without Space)
.onAttach	Package Attach Hook Function
Andrews.test	Andrews' Test for End-of-Sample Structural Change
andrews_test	Univariate Andrews Test for End-of-Sample Structural Change
andrews_test_reg	Multivariate Andrews' Test for End-of-Sample Structural Change
banks	Bank Portfolio Returns
CPAT_startup_message	Create Package Startup Message
cpt_consistent_var	Variance Estimation Consistent Under Change
CUSUM.test	CUSUM Test
DE.test	Darling-Erd<c3><b6>s Test
dZn	R<c3><a9>nyi-Type Statistic Limiting Distribution Density Function
ff	Fama-French Five Factors
getLongRunWeights	Weights for Long-Run Variance
get_lrv_vec	Long-Run Variance Estimation With Possible Change Points
HR.test	R<c3><a9>nyi-Type Test
HS.test	Hidalgo-Seo Test
pdarling_erdos	Darling-Erd<c3><b6>s Statistic CDF
phidalgo_seo	Hidalgo-Seo Statistic CDF
pkolmogorov	Kolmogorov CDF
pZn	R<c3><a8>nyi-Type Statistic CDF
qdarling_erdos	Darling-Erd<c3><b6>s Statistic Limiting Distribution Quantile Function
qhidalgo_seo	Hidalgo-Seo Statistic Limiting Distribution Quantile Function
qkolmogorov	Kolmogorov Distribution Quantile Function
qZn	R<c3><a8>nyi-Type Statistic Quantile Function
rchangepoint	Simulate Univariate Data With a Single Change Point
sim_de_stat	Darling-Erd<c3><b6>s Statistic Simulation
sim_hs_stat	Hidalgo-Seo Statistic Simulation
sim_Vn	CUSUM Statistic Simulation (Assuming Variance)
sim_Vn_stat	CUSUM Statistic Simulation
sim_Zn	R<c3><a8>nyi-Type Statistic Simulation (Assuming Variance)
sim_Zn_stat	R<c3><a8>nyi-Type Statistic Simulation
stat_de	Compute the Darling-Erd<c3><b6>s Statistic
stat_hs	Compute the Hidalgo-Seo Statistic
stat_Vn	Compute the CUSUM Statistic
stat_Zn	Compute the R<c3><a9>nyi-Type Statistic