multibreakeR

cranv0.1.0

Tests for a Structural Change in Multivariate Time Series. Flexible implementation of a structural change point detection algorithm for multivariate time series. It authorizes inclusion of trends, exogenous variables, and break test on the intercept or on the full vector autoregression system. Bai, Lumsdaine, and Stock (1998) <doi:10.1111/1467-937X.00051>.

License GPLstrong copyleft0 versions1 maintainers6 deps69 weekly dl
loicym/multibreakeR
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First published · 2023-05-24 09:15:23

Last updated · 2023-05-24T07:20:08+00:00

multibreakeR — Health Score 33/100 | DepScope