segMGarch
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.
- Version1.2
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release01/17/2019
Team
Karolos Korkas
Haeran Cho
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- Imports7 packages
- Suggests1 package
- Linking To2 packages