HS.test {CPAT}

Hidalgo-Seo Test

Description

Performs the (univariate) Hidalgo-Seo test for change in mean, as described in (Rice et al. ). This is effectively an interface to stat_hs; see its documentation for more details. p-values are computed using phidalgo_seo, which represents the limiting distribution of the test statistic when the null hypothesis is true.

Usage

HS.test(x, corr = TRUE, stat_plot = FALSE)

Arguments

x

Data to test for change in mean

corr

If TRUE, the long-run variance will be computed under the assumption of correlated residuals; ignored if custom_var is not NULL or use_kernel_var is TRUE

stat_plot

Whether to create a plot of the values of the statistic at all potential change points

Value

A htest-class object containing the results of the test

References

Rice G, Miller C, Horváth L (????). “A new class of change point test of Rényi type.” in-press.

Examples

HS.test(rnorm(1000))
HS.test(rnorm(1000), corr = FALSE)