I have a question concerning data that oscillates between two primary value ranges, and how one might go about determining any performance metrics or abnormalities in that data. Example: I have a ...
I have a time series $x_t$ which may go through different phases of volatility. One example might be some stock that has high variance from 9 AM to 11 AM, low variance from 11 AM to 2 PM, and then ...
I'm using the changepoint package in R because I need to check if the variance is stable or if there are some breaks inside. The function cpt.var does the job well but there is not a parameter to set ...