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Is there any Time series change-point estimate in R?

2 messages · Wang, Zhu, Achim Zeileis

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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
1 day later
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On Tuesday 01 April 2003 18:56, Wang, Zhu wrote:

            
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