VARDetect: Multiple Change Point Detection in Structural VAR Models
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>.
| Version: |
0.1.6 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
stats, MTS, igraph, pracma, graphics, mvtnorm, sparsevar, lattice, Rcpp (≥ 1.0.7) |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
knitr, rmarkdown |
| Published: |
2022-05-10 |
| Author: |
Yue Bai [aut, cre],
Peiliang Bai [aut],
Abolfazl Safikhani [aut],
George Michailidis [aut] |
| Maintainer: |
Yue Bai <baiyue at ufl.edu> |
| License: |
GPL-2 |
| NeedsCompilation: |
yes |
| In views: |
TimeSeries |
| CRAN checks: |
VARDetect results |
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