lsar.chgpt {TSSS} | R Documentation |
Precisely estimate a change point of subinterval for locally stationary AR model.
lsar.chgpt(y, max.arorder = 20, subinterval, candidate, plot = TRUE, ...)
y |
a univariate time series. |
max.arorder |
highest order of AR model. |
subinterval |
a vector of the form |
candidate |
a vector of the form
( |
plot |
logical. If |
... |
further arguments to be passed to |
An object of class "chgpt"
, which is a list with the following
elements:
aic |
AICs of the AR model fitted on |
aicmin |
minimum AIC. |
change.point |
a change point. |
subint |
original sub-interval data and information. |
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# seismic data data(MYE1F) lsar.chgpt(MYE1F, max.arorder = 10, subinterval = c(200, 1000), candidate = c(400, 800)) lsar.chgpt(MYE1F, max.arorder = 10, subinterval = c(600, 1400), candidate = c(800, 1200))