Pettitt's (1979) test for a single change-point in a time series.
Returns the change-point index, the test statistic, and an
approximate p-value.
Usage
pettitt_changepoint(series)
Arguments
- series
Numeric vector / time series.
Value
Named list with change_point_index, U_max, p_value,
note.
References
Pettitt (1979). A non-parametric approach to the
change-point problem. J. R. Stat. Soc. C, 28(2), 126–135.
Examples
set.seed(1)
str(pettitt_changepoint(c(rnorm(30), rnorm(30, 2))), max.level = 1)
#> List of 4
#> $ change_point_index: int 29
#> $ U_max : num 854
#> $ p_value : num 4.44e-09
#> $ note : chr "Pettitt 1979 approximate p-value; single-change-point assumption"
