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>.

Getting started

Package details

AuthorYue Bai [aut, cre], Peiliang Bai [aut], Abolfazl Safikhani [aut], George Michailidis [aut]
MaintainerYue Bai <baiyue@ufl.edu>
LicenseGPL-2
Version0.1.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("VARDetect")

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VARDetect documentation built on May 27, 2021, 5:06 p.m.