fit_meanvar function

Fit a model for mean and variance

fit_meanvar(x, tau, ...)

Arguments

• x: A time series
• tau: a set of indices representing a changepoint set
• ...: currently ignored

Returns

A mod_cpt object.

Details

In a mean-variance model, both the means and variances are allowed to vary across regions. Thus, this model fits a separate $\mu_j$ and $\sigma_j$ for each region $j$.

Examples

# Fit a mean-variance model
fit_meanvar(CET, tau = c(42, 330))

See Also

changepoint::cpt.meanvar()

Other model-fitting: fit_lmshift(), fit_meanshift(), fit_nhpp(), model_args(), model_name(), new_fun_cpt(), whomademe()