[R] trend turning points

[kjetil@entelnet.bo]

On 14 Apr 2004 at 19:24, Achim Zeileis wrote:

> On Wed, 14 Apr 2004 19:05:32 +0200 Joerg Schaber wrote:
> 
> > Hi,
> > 
> > does anybody know of a nice test to detect trend turning points in
> > time series? Possibly with reference?
> 
> You can look at the function breakpoints() in the package strucchange

I have found this very usefull. One Q: from the documentation
(vignette) it is not clear if the distribution theory implemented in
strucchange takes account of autocorrelation structure in a 
time series. For instance, to look for trend changes and at the same 
time changes in the form of seasonality I uses 
breakpoints(my.ts ~ 1:n + as.factor(cycle(my.ts)) )

Is this OK?

Kjetil Halvorsen

> and the function segmented() in the package segmented which do
> segmentation of (generalized) linear regression models. The former
> tries to fit fully segmented regression models, the latter broken line
> trends. References are given on the respective help pages.
> 
> A suitable test for a change in trend in linear regression models is
> the OLS-based CUSUM test with a Cramer-von Mises functional of Kraemer
> & Ploberger (1996, JoE) which is available via efp() in strucchange
> and associated methods.
> 
> hth,
> Z
> 
> > Thanks,
> > 
> > joerg
> > 
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