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 > > > > ______________________________________________ > > [EMAIL PROTECTED] mailing list > > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide! > > http://www.R-project.org/posting-guide.html > > > > ______________________________________________ > [EMAIL PROTECTED] mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html