[R] Offline change detection methods?

Achim Zeileis zeileis at ci.tuwien.ac.at
Mon Sep 10 18:41:06 CEST 2001

Henrik Bengtsson wrote:
> Dear [R] people, I am looking for a method to test if there are any
> changes (jump points) in a time series data set or not.

The package "strucchange" offers a couple of methods to test whether
there are any jump points or not. In the regression context it's just
regression with a constant, i.e. formulas of type y ~ 1.

> If there are, I would like to identify the jump points.

With the methods in "strucchange" you can do so visually by interpreting
empirical fluctuation processes, see efp() in "strucchange".
An algorithm for estimating the number/location of the breakpoints is
not implemented (yet). But I've got a preliminary version of a function
for this task, which I can send you.

You will also find some references for structural change tests in the
help pages of "strucchange".

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