fstat {spatclus} | R Documentation |
Computes the F-statistics for each model with $k$ breaks for $k in 1,...,m$, and the WD max F-statistic that allows to select the number of breaks and determines if the cluster(s) is significant.
fstat(reslst,bc,m,T,eps)
reslst |
A matrix giving, for each point ordered by its rank in the trajectory, its distance to the nearest neighbourg, the expentancy of this distance, and its weighted distance. |
bc |
A list. The element $k$ of the list is a vector containing the estimated breaks for the $k$-breaks model. |
m |
The maximum number of breaks. |
T |
The size of the weighted serie. |
eps |
Minimum size of cluster (ratio of the total number of cases). |
The theory used in this function is based on works of J. Bai and P. Perron.
A list of objects :
F |
A F-statistics matrix giving in the first row the F-statistic value for each of the $m$ models, and the corresponding weighted F-statistics in the second row. |
wdm |
The WD max F-statistic value. |
wdms |
The WD max F-statistic threshold at $5%$. |
signif |
A boolean. If True, the cluster(s) located is significant. |
kmax |
The number of breaks of the model maximizing the WD max F-statistic. |
Christophe Dematte{"i} demattei@iurc.montp.inserm.fr
Bai J. and Perron P. (1998), Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47–78.
Bai J. and Perron P. (2003), Critical values for multiple structural change tests. Econometrics Journal, 6, 72–78.