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Pettitt non-parametric change-point detection

Source: R/doob_trends.R
pettitt_changepoint.Rd

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.