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Wang, Zhu

2003-Apr-01 16:56 UTC

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

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

Achim Zeileis

2003-Apr-03 09:21 UTC

head link

[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
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help

Wang, Zhu

2003-Apr-05 20:45 UTC

head link

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

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:zeileis at ci.tuwien.ac.at] 
	Sent: Thu 4/3/2003 3:21 AM 
	To: Wang, Zhu; r-help at stat.math.ethz.ch 
	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
	>
	> ______________________________________________
	> R-help at stat.math.ethz.ch mailing list
	> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
	
	______________________________________________
	R-help at stat.math.ethz.ch mailing list
	https://www.stat.math.ethz.ch/mailman/listinfo/r-help

Achim Zeileis

2003-Apr-08 09:28 UTC

head link

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

On Saturday 05 April 2003 22:45, Wang, Zhu wrote:
> Thanks.
> I am currentlly investigating the package strucchange.
> My interested change-point is the covariance structure change. Can
> strucchange do that?
No, not really. You might be able to use the functions in strucchange 
to test and estimate variance changes (if you are able to write the 
model as a regression model), but covariance changes are more 
difficult.
> Does strucchange consider Box-Jenkins model?
No, not currently.

Best,
Z
> Zhu Wang
>
> Statistical Science Department
> SMU
>
> 	-----Original Message-----
> 	From: Achim Zeileis [mailto:zeileis at ci.tuwien.ac.at]
> 	Sent: Thu 4/3/2003 3:21 AM
> 	To: Wang, Zhu; r-help at stat.math.ethz.ch
> 	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
> 	>
> 	> ______________________________________________
> 	> R-help at stat.math.ethz.ch mailing list
> 	> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
> 	______________________________________________
> 	R-help at stat.math.ethz.ch mailing list
> 	https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help

Wang, Zhu

2003-Apr-10 16:15 UTC

head link

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

Thanks for the great help.

Zhu Wang

Statistical Science Department
SMU




-----Original Message-----
From:	Achim Zeileis [mailto:zeileis at ci.tuwien.ac.at]
Sent:	Tue 4/8/2003 4:28 AM
To:	Wang, Zhu
Cc:	r-help at stat.math.ethz.ch
Subject:	Re: [R] Is there any Time series change-point estimate in R?

On Saturday 05 April 2003 22:45, Wang, Zhu wrote:
> Thanks.
> I am currentlly investigating the package strucchange.
> My interested change-point is the covariance structure change. Can
> strucchange do that?
No, not really. You might be able to use the functions in strucchange 
to test and estimate variance changes (if you are able to write the 
model as a regression model), but covariance changes are more 
difficult.
> Does strucchange consider Box-Jenkins model?
No, not currently.

Best,
Z
> Zhu Wang
>
> Statistical Science Department
> SMU
>
> 	-----Original Message-----
> 	From: Achim Zeileis [mailto:zeileis at ci.tuwien.ac.at]
> 	Sent: Thu 4/3/2003 3:21 AM
> 	To: Wang, Zhu; r-help at stat.math.ethz.ch
> 	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
> 	>
> 	> ______________________________________________
> 	> R-help at stat.math.ethz.ch mailing list
> 	> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
> 	______________________________________________
> 	R-help at stat.math.ethz.ch mailing list
> 	https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help

R help - Apr 2003 - Is there any Time series change-point estimate in R?

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

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

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

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

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