Package: FCUSUM 1.0.0

FCUSUM: Fourier CUSUM Cointegration Test

Implements the Fourier cumulative sum (CUSUM) cointegration test for detecting cointegration relationships in time series data with structural breaks. The test uses Fourier approximations to capture smooth structural changes and CUSUM statistics to test for cointegration stability. Based on methodology described in Zaghdoudi (2025) <doi:10.46557/001c.144076>. The corrected Akaike Information Criterion (AICc) is used for optimal frequency selection.

Authors:Taha Zaghdoudi [aut, cre]

FCUSUM_1.0.0.tar.gz
FCUSUM_1.0.0.zip(r-4.7-any)FCUSUM_1.0.0.zip(r-4.6-any)FCUSUM_1.0.0.zip(r-4.5-any)
FCUSUM_1.0.0.tgz(r-4.6-any)FCUSUM_1.0.0.tgz(r-4.5-any)
FCUSUM_1.0.0.tar.gz(r-4.7-any)FCUSUM_1.0.0.tar.gz(r-4.6-any)
FCUSUM_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
FCUSUM/json (API)

# Install 'FCUSUM' in R:
install.packages('FCUSUM', repos = c('https://zedtaha.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/zedtaha/fcusum/issues

On CRAN:

Conda:

2.70 score 1 stars 208 downloads 1 exports 0 dependencies

Last updated from:ef24e86877. Checks:7 NOTE, 2 OK. Indexed: yes.

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linux-develNOTE78
source / vignettesOK139
linux-releaseNOTE76
macos-releaseNOTE164
macos-oldrelNOTE164
windows-develNOTE56
windows-releaseNOTE52
windows-oldrelNOTE53
wasm-releaseOK75

Exports:fcum

Dependencies: