search for: ashwan

Does anyone know where I can get R code for plotting the Brown , Durbin and Evans cumsum procedure ( 1975 ) ? I wrote my own code but I am a little worried that my confiodence bands may not be correct ( I find the formula in the original paper confusing and S+Finmetrics has a formula but that formula implies that there should be 4 lines as far as I can tell ) so I would like to see someone

...orking and I have been looking at the examples given for the Fstats() function. The first example (Nile), shows one peak in the F-stats and one breakpoint is estimated, that can be plotted using the following code ## Nile data with one breakpoint: the annual flows drop in 1898 ## because the first Ashwan dam was built data("Nile") plot(Nile) ## test the null hypothesis that the annual flow remains constant ## over the years fs.nile <- Fstats(Nile ~ 1) plot(fs.nile, alpha=0.05) sctest(fs.nile) ## visualize the breakpoint implied by the argmax of the F statistics plot(Nile) lines(breakpo...