Structural change detection using generalized fluctuation tests via
strucchange::breakpoints() doi:10.18637/jss.v007.i02.
References
Zeileis A, Leisch F, Kleiber C, Hornik K (2002). strucchange: An R package for testing for structural change in linear regression models. Journal of Statistical Software, 7(2). doi:10.18637/jss.v007.i02
Zeileis A, Kleiber C, Krämer W, Hornik K (2003). Testing and dating of structural changes in practice. Computational Statistics & Data Analysis, 44(1):109–123.
Examples
library(daltoolbox)
# Load change-point example data
data(examples_changepoints)
# Use a simple example
dataset <- examples_changepoints$simple
head(dataset)
#> serie event
#> 1 0.00 FALSE
#> 2 0.25 FALSE
#> 3 0.50 FALSE
#> 4 0.75 FALSE
#> 5 1.00 FALSE
#> 6 1.25 FALSE
# Configure the GFT detector
model <- hcp_gft()
# Fit the detector (no-op for GFT)
model <- fit(model, dataset$serie)
# Run detection
detection <- detect(model, dataset$serie)
# Show detected change points
print(detection[(detection$event),])
#> idx event type
#> 49 49 TRUE changepoint
#> 69 69 TRUE changepoint