Package: VARDetect 0.1.8

Yue Bai

VARDetect: Multiple Change Point Detection in Structural VAR Models

Implementations of Thresholded Block Segmentation Scheme (TBSS) and Low-rank plus Sparse Two Step Procedure (LSTSP) algorithms for detecting multiple changes in structural VAR models. The package aims to address the problem of change point detection in piece-wise stationary VAR models, under different settings regarding the structure of their transition matrices (autoregressive dynamics); specifically, the following cases are included: (i) (weakly) sparse, (ii) structured sparse, and (iii) low rank plus sparse. It includes multiple algorithms and related extensions from Safikhani and Shojaie (2020) <doi:10.1080/01621459.2020.1770097> and Bai, Safikhani and Michailidis (2020) <doi:10.1109/TSP.2020.2993145>.

Authors:Yue Bai [aut, cre], Peiliang Bai [aut], Abolfazl Safikhani [aut], George Michailidis [aut]

VARDetect_0.1.8.tar.gz
VARDetect_0.1.8.tar.gz(r-4.5-noble)VARDetect_0.1.8.tar.gz(r-4.4-noble)
VARDetect_0.1.8.tgz(r-4.4-emscripten)VARDetect_0.1.8.tgz(r-4.3-emscripten)
VARDetect.pdf |VARDetect.html
VARDetect/json (API)

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

Peer review:

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • eeg - EEG signal data
  • weekly - Weekly stock price data

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.30 score 1 stars 1 scripts 298 downloads 12 exports 63 dependencies

Last updated 6 months agofrom:973d2728f6. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKNov 13 2024
R-4.5-linux-x86_64OKNov 13 2024

Exports:detection_checkeval_funchausdorff_checklag_selectionlstspplot_densityplot_grangerplot_matrixsimu_lstspsimu_tbsssimu_vartbss

Dependencies:clicodetoolscolorspacecorpcorcpp11cvardoParallelfansifarverfastICAfBasicsfGarchforeachgbutilsggplot2glmnetgluegssgtableigraphisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvMTSmunsellmvtnormncvregnlmepicassopillarpkgconfigplyrpracmaR6rbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackreshape2rlangscalesshapesparsevarspatialstablediststringistringrsurvivaltibbletimeDatetimeSeriesutf8vctrsviridisLitewithr