Multiple Change-Point Detection for High-Dimensional GARCH Processes

Implements a segmentation algorithm for multiple change-point detection in high-dimensional GARCH processes. It simultaneously segments GARCH processes by identifying 'common' change-points, each of which can be shared by a subset or all of the component time series as a change-point in their within-series and/or cross-sectional correlation structure.


Reference manual

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1.2 by Karolos Korkas, 2 years ago

Browse source code at

Authors: Haeran Cho and Karolos Korkas

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp, foreach, iterators, doParallel, fGarch, corpcor, mvtnorm, methods

Suggests MASS

Linking to Rcpp, RcppArmadillo

See at CRAN