Thanks.
I am currentlly investigating the package strucchange.
My interested change-point is the covariance structure change. Can strucchange do
that? Does strucchange consider Box-Jenkins model?
Zhu Wang
Statistical Science Department
SMU
-----Original Message-----
From: Achim Zeileis [mailto:[EMAIL PROTECTED]
Sent: Thu 4/3/2003 3:21 AM
To: Wang, Zhu; [EMAIL PROTECTED]
Cc:
Subject: Re: [R] Is there any Time series change-point estimate in R?
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
>
> ______________________________________________
> [EMAIL PROTECTED] mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
______________________________________________
[EMAIL PROTECTED] mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help
______________________________________________
[EMAIL PROTECTED] mailing list
https://www.stat.math.ethz.ch/mailman/listinfo/r-help
