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) and Bai, Safikhani and Michailidis (2020) .


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install.packages("VARDetect")

0.1.3 by Yue Bai, 25 days ago


Browse source code at https://github.com/cran/VARDetect


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


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 license


Imports stats, MTS, igraph, pracma, graphics, mvtnorm, sparsevar, lattice, Rcpp

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN