Student {BreakPoints}

Mann-Whitney-Wilcoxon Test, Student t-test and Pettit Test

Description

Compute Rolling Mann-Whitney-Wilcoxon Test, Rolling Student t-test and Pettit test for homogeneity, NAs allow.

Usage

  stu(serie,n_period=10)

  man.whi(serie,n_period=10)

  pettit(serie,n_period=10)

Arguments

serie

numeric vector where the breakpoint is looked for

n_period

an integer specifying the minimal length of a complete period to consider

Details

man.whi compute Mann-Whitney-Wilcoxon Test and stu the Student t-test for all possible breaks in the serie and get the most significant break.In both test NA values are allow.

pettit Compute the Pettit Test for Homogeneity. NA values are allow.

Value

pettit, man.whi and stu returns a list with the breakpoint index and its p value

breaks

index where the breakpoint is found

p.value

p value of the test

References

- Ruxton, G. D., jul 2006. The unequal variance t-test is an underused alternative to Student’s t-test and the Mann–Whitney U test. Behavioral Ecology 17 (4), 688–690. URL: http://academic.oup.com/beheco/article/17/4/688/215960/The-unequal-variance-ttest-is-an-underused

- Mann, H. B., Whitney, D. R., mar 1947. On a Test of Whether one of Two Random Variables is Stochastically Larger than the Other. The Annals of Mathematical Statistics 18 (1), 50–60. URL http://projecteuclid.org/euclid.aoms/1177730491

- Pettitt, A. N., 1979. A Non-Parametric Approach to the Change-Point Problem. Applied Statistics 28 (2), 126. URL https://www.jstor.org/stable/10.2307/2346729?origin=crossref

Examples

  # Make a serie with one breakpoint
  x <- c(rnorm(60,1,1),rnorm(40,2,1))

  # Look for break using pettit(), man.whi() and stu()
  break_prosition_pettit <- pettit(serie = x)
  break_prosition_man.whi <- man.whi(serie = x)
  break_prosition_stu <- stu(serie = x)

  plot(x)
  abline(v = break_prosition_pettit$breaks,col='red')
  abline(v = break_prosition_man.whi$breaks,col='blue')
  abline(v = break_prosition_stu$breaks,col= 'green')