VARDetect

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.

Last 30 days

This package has been downloaded 79 times in the last 30 days. A respectable number—like a niche research paper, only those who truly care will download it. The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 3 times.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 3,990 times in the last 365 days. Now we’re talking! This work is officially 'heard of in academic circles', just like those wild research papers on synthetic bananas. The day with the most downloads was Jul 21, 2024 with 159 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.