[R-SIG-Finance] time series regime detection in R?

[Achim Zeileis]

On Thu, 2 Feb 2012, Michael wrote:

> Hi all, good morning and good evening!
>
> Could you please point me to some commands/functions/packages in R
> commutity that can do regime detection for time series?

The "strucchange" and "segmented" packages provide functionality in this 
direction. The former considers abrupt shifts (including jumps) in 
parameters whereas the latter has the additional restriction of looking at 
continuous segmented functions.

If you are in a setting without covariates, the packages "changepoint" and 
"bcp" may also be of interest.

> For example, giving a times series of SP500, and maybe other covariates and
> macro data, we can answer the following questions:
>
> 1. How many regimes are there?
> 2. Are we currently in a new regime and since when?

A specific application that may be of interest in this direction is 
implemented in the "fxregime" package (built on top of "strucchange"). See 
also the accompanying paper:

   Achim Zeileis, Ajay Shah, Ila Patnaik (2010). Testing, Monitoring,
   and Dating Structural Changes in Exchange Rate Regimes. Computational
   Statistics & Data Analysis, 54(6), 1696-1706.
   doi:10.1016/j.csda.2009.12.005

hth,
Z

> Thank you!
>
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