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
Insights
Last 30 days
This package has been downloaded 169 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 5 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 2,555 times in the last 365 days. Consider this 'mid-tier influencer' status—if it were a TikTok, it would get a nod from nieces and nephews. The day with the most downloads was Jul 21, 2024 with 146 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.
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Dependencies
- Imports7 packages
- Suggests1 package
- Linking To2 packages