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) .


Reference manual

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0.1.5 by Yue Bai, 4 months ago

Browse source code at

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