Package: VARDetect 0.1.8
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:
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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 6 months agofrom:973d2728f6. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 13 2024 |
R-4.5-linux-x86_64 | OK | Nov 13 2024 |
Exports:detection_checkeval_funchausdorff_checklag_selectionlstspplot_densityplot_grangerplot_matrixsimu_lstspsimu_tbsssimu_vartbss
Dependencies:clicodetoolscolorspacecorpcorcpp11cvardoParallelfansifarverfastICAfBasicsfGarchforeachgbutilsggplot2glmnetgluegssgtableigraphisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvMTSmunsellmvtnormncvregnlmepicassopillarpkgconfigplyrpracmaR6rbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackreshape2rlangscalesshapesparsevarspatialstablediststringistringrsurvivaltibbletimeDatetimeSeriesutf8vctrsviridisLitewithr