Hi I am trying to check the existence of change points in the mean and in the variance using R. My data is not normally distributed, so I want to use the cusum test. Also I want the significance level to be 0.05.
I am trying to use the package "changepoints", but for change points in the mean I couldn't find a way of choosing the significance level because it says the asymptotic penalty is not available with cusum!
For the variance it lets me choose the significance level using:
however it always detects a change point. Sometimes it looks like a real changepoint, but when the series doesn't seem to have one it just detects a change point in the end of the series.
Anyone knows a way of calculating change points in R using the cusum test with a significance level of 0.05?
Thanks for helping!