Hello, I am looking for time series non-stationary test and change - point estimate. The pachage strucchange seems not serving my purpose. Thanks in advance. Zhu Wang Statistical Science Department SMU
Is there any Time series change-point estimate in R?
2 messages · Wang, Zhu, Achim Zeileis
1 day later
On Tuesday 01 April 2003 18:56, Wang, Zhu wrote:
Hello, I am looking for time series non-stationary test and change - point estimate. The pachage strucchange seems not serving my purpose.
This is both very vague. You might find a suitable test for non-stationarity in tseries. And depending on what you mean by changepoint, strucchange might be able to do what you want. The function breakpoints() can estimate breakpoints in linear regression models, which includes certain types of models for non-stationary time series. Z
Thanks in advance. Zhu Wang Statistical Science Department SMU
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