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Commits (3)
2018-11-18 Adrian Trapletti <adrian@trapletti.org>
* DESCRIPTION (Version): New version is 0.10-46.
* README: Update contributers.
* R/test.R (kpss.test):
* man/kpss.test.Rd:
Change the truncation lag parameter formulas to the original formulas
of KPSS. Spotted by M. Bruns and K. Nieradko.
2018-06-04 Kurt Hornik <Kurt.Hornik@wu.ac.at>
* DESCRIPTION: Improve Imports for cran2deb (spotted by DE).
......
Package: tseries
Version: 0.10-45
Version: 0.10-46
Title: Time Series Analysis and Computational Finance
Authors@R: c(person("Adrian", "Trapletti", role = "aut",
email = "adrian@trapletti.org"),
......@@ -12,10 +12,10 @@ Depends: R (>= 2.10.0)
Imports: graphics, stats, utils, quadprog, zoo, quantmod (>= 0.4-9)
License: GPL-2
NeedsCompilation: yes
Packaged: 2018-06-04 09:49:39 UTC; hornik
Packaged: 2018-11-19 19:58:47 UTC; hornik
Author: Adrian Trapletti [aut],
Kurt Hornik [aut, cre],
Blake LeBaron [ctb] (BDS test code)
Maintainer: Kurt Hornik <Kurt.Hornik@R-project.org>
Repository: CRAN
Date/Publication: 2018-06-04 10:36:40 UTC
Date/Publication: 2018-11-19 20:38:02 UTC
43e3730aaff44aa4bd455d6eeb427842 *ChangeLog
c7fa8a821f5e8161d7f0f0811fb8e1d6 *DESCRIPTION
805c7c171c5d3f88a16b50f155d492de *ChangeLog
6b9f80c323e7b1c83ef6e83bac751416 *DESCRIPTION
cdc8894457c6efd2f1e49cfa79272d7b *NAMESPACE
c5a452ce3d1b330e8f92670ac8f0de83 *R/arma.R
0d02a6e601f51ccf3b1f0d21f9ca0df2 *R/finance.R
72ee630e802dbee4b151d9d1efd31ca3 *R/garch.R
decf4a3134c069cf9d2dbc79b1b60706 *R/irts.R
7c6da2661e64bca54164f7b34195869a *R/test.R
6e7335585e1d29c4e65ad4d2367daef2 *R/test.R
9db11950b82d51c34320a7baea82bd52 *R/tsutils.R
6474314852bc0951b0cc3848febd98dc *R/zzz.R
e311649f01da4c522be8ff61cb4776a2 *README
7f6ad0ff2e50b54d2e7504273fc3cd30 *data/NelPlo.rda
8309f230b4b6bf1a2f8b07d91d392dc0 *data/USeconomic.rda
b7b5a733d5754caad200e1793d2a9da8 *data/bev.rda
16aac91060dbd981c6cd3805adb0abac *data/camp.rda
e5b9e27f480baaff643ea35a1aedc6ee *data/ice.river.rda
b7cf8e327fadbfed4e0b9fc38e703f21 *data/nino.rda
d34d786954b4a2a1572ad831126afa1c *data/tcm.rda
8ec8d004687dd2976895782bbff9c17d *data/tcmd.rda
5e4d9899b4d9967986461369024bd0bf *README
25532813a7305230168231e65a24ee33 *data/NelPlo.rda
b79be47555918493837a8df1abf25836 *data/USeconomic.rda
b7b65cb9d7bfe1feb23ad98803ea3687 *data/bev.rda
783cae598ccf6e42ff83d67701b7cc32 *data/camp.rda
0d6eb002a9bcd2f6dc9f3bd1d6ab0cde *data/ice.river.rda
8b51b19102594363c2c8c6cb424ba24b *data/nino.rda
c5c77e3218fdb9875e5d80899418b95c *data/tcm.rda
8d187037c40a9317bc642f510a4d441f *data/tcmd.rda
ce27980f11ae3cdfe19a1da71b3db73e *inst/CITATION
39c832867f0093af08dba56ed7c89504 *man/NelPlo.Rd
a3fd00105442c79dbe9d8097b5877f40 *man/USeconomic.Rd
......@@ -34,7 +34,7 @@ d1b8f7e9d68bae68eea050d9efedb11b *man/irts-functions.Rd
82628e1b908072d5572db16d8d4fd2fa *man/irts-methods.Rd
98a04ff66d5647b616d4957e316b0011 *man/irts.Rd
ebbc531e16bbbbf4ce7e6851456d0d83 *man/jarque.bera.test.Rd
12b6229199d36a5f1af0291f4d324b4e *man/kpss.test.Rd
c743f25be85f1614cb550ff8c4c39830 *man/kpss.test.Rd
8694b77930d8f87608e74cb3a098ffdb *man/maxdrawdown.Rd
df57497fe0c4420af39d4372edbd0e4a *man/na.remove.Rd
7da4c7325e0856a6dd73b0b3bc245d11 *man/nino.Rd
......
......@@ -740,9 +740,9 @@ function(x, null = c("Level", "Trend"), lshort = TRUE)
eta <- sum(s^2)/(n^2)
s2 <- sum(e^2)/n
if(lshort)
l <- trunc(3*sqrt(n)/13)
l <- trunc(4*(n/100)^0.25)
else
l <- trunc(10*sqrt(n)/14)
l <- trunc(12*(n/100)^0.25)
s2 <- .C(tseries_pp_sum,
as.vector(e, mode="double"),
as.integer(n),
......
......@@ -7,9 +7,9 @@ Authors:
In addition, the following people have contributed
code, bug reports, and documentation:
P. Buehlmann, D. Eddelbuettel, X. G. Fan, K. Hornik, W. Koller,
F. Leisch, M. Maechler, D. Murdoch, M. Parzen, A. Shah, Matthieu Stigler,
A. Zeileis
M. Bruns, P. Buehlmann, D. Eddelbuettel, X. G. Fan, K. Hornik, W. Koller,
F. Leisch, M. Maechler, K. Nieradko, D. Murdoch, M. Parzen, A. Shah,
M. Stigler, A. Zeileis
License: GPL-2
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tseries (0.10-46-1) unstable; urgency=medium
* New upstream release
* debian/control: Set Build-Depends: to current R version
* debian/control: Set Standards-Version: to current version
-- Dirk Eddelbuettel <edd@debian.org> Mon, 19 Nov 2018 16:05:31 -0600
tseries (0.10-45-1) unstable; urgency=medium
* New upstream release
......
......@@ -2,8 +2,8 @@ Source: tseries
Section: gnu-r
Priority: optional
Maintainer: Dirk Eddelbuettel <edd@debian.org>
Build-Depends: debhelper (>= 10), dh-r, r-base-dev (>= 3.5.0), r-cran-zoo, r-cran-quadprog, r-cran-lattice, r-cran-quantmod
Standards-Version: 4.1.4
Build-Depends: debhelper (>= 10), dh-r, r-base-dev (>= 3.5.1), r-cran-zoo, r-cran-quadprog, r-cran-lattice, r-cran-quantmod
Standards-Version: 4.2.1
Vcs-Browser: https://salsa.debian.org/edd/r-cran-tseries
Vcs-Git: https://salsa.debian.org/edd/r-cran-tseries.git
Homepage: https://cran.r-project.org/package=tseries
......
......@@ -19,8 +19,8 @@ kpss.test(x, null = c("Level", "Trend"), lshort = TRUE)
\details{
To estimate \code{sigma^2} the Newey-West estimator is used.
If \code{lshort} is \code{TRUE}, then the truncation lag parameter is
set to \code{trunc(3*sqrt(n)/13)}, otherwise
\code{trunc(10*sqrt(n)/14)} is used. The p-values are interpolated
set to \code{trunc(4*(n/100)^0.25)}, otherwise
\code{trunc(12*(n/100)^0.25)} is used. The p-values are interpolated
from Table 1 of Kwiatkowski et al. (1992). If the computed statistic
is outside the table of critical values, then a warning message is
generated.
......