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.


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install.packages("segMGarch")

1.2 by Karolos Korkas, a month ago


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


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