CRAN/E | segMGarch

segMGarch

Multiple Change-Point Detection for High-Dimensional GARCH Processes

Installation

About

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.

Key Metrics

Version 1.2
Published 2019-01-17 2095 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks segMGarch results

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Maintainer

Maintainer

Karolos Korkas

Authors

Haeran Cho
Karolos Korkas

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

segMGarch archive

Imports

Rcpp ≥ 0.12.12
foreach
iterators
doParallel
fGarch
corpcor
mvtnorm
methods

Suggests

MASS

LinkingTo

Rcpp
RcppArmadillo