Man pages for VARDetect
Multiple Change Point Detection in Structural VAR Models
| backward.selection | Backward selection function for the second screening step |
| BIC | BIC and HBIC function |
| block.finder | cluster the points by neighborhood size a_n |
| break.var.local.new | Compute local loss function. |
| break.var.lps | Auxiliary function to calculate loss at the estimated change... |
| cv.detect.LpS | Single change point detection for low-rank plus sparse model... |
| cv.separate | cross-validation index function, separate train and test sets |
| cv.tuning.selection | a function to apply cross-validation to select tuning... |
| detection_check | Function for detection performance check |
| detect.LpS | Single change point detection for low-rank plus sparse model... |
| eeg | EEG signal data |
| eval_func | Evaluation function, return the performance of simulation... |
| f.func | Main loss function for quardratic loss |
| first.step.blocks | block fused lasso step (first step for BSS). |
| first.step.blocks.group | block fused sparse group lasso step (first step). |
| first.step.detect | First step rolling window function |
| fista.LpS | A function to solve low rank plus sparse model estimation... |
| fista.nuclear | A helper function for implementing FISTA algorithm to... |
| gradf.func | Gradient function of quardratic loss |
| hausdorff_check | Function for Hausdorff distance computation |
| lag_selection | Select the lag of the VAR model using total BIC method |
| lstsp | Main function for the low rank plus sparse structure VAR... |
| nuclear.pen | Nuclear norm penalty for low-rank component |
| obj.func | Objective function |
| plot_density | Function to plot the sparsity levels for estimated model... |
| plot_granger | Function to plot Granger causality networks |
| plot_matrix | Plot the AR coefficient matrix |
| plot.VARDetect.result | Plotting the output from VARDetect.result class |
| pred | Prediction function (single observation) |
| pred.block | Prediction function (block) |
| print.VARDetect.result | Function to print the change points estimated by VARDetect |
| prox.nuclear.func | Proximal function with nuclear norm penalty updating |
| prox.nuclear.func.fLS | Proximal function for nuclear norm penalty |
| prox.sparse.func | Proximal function with l1-norm penalty updating |
| Q.func | An auxiliary function in FISTA algorithm |
| remove.extra.pts | helper function for detection check |
| second.step.detect | Backward elimination algorithm for screening in the second... |
| second.step.local | local screening step (second step). |
| shrinkage | Shrinkage function for sparse soft-thresholding |
| shrinkage.lr | Shrinkage function for low-rank soft-thresholding |
| simu_lstsp | Function to deploy simulation with LSTSP algorithm |
| simu_tbss | Simulation function for TBSS algorithm |
| simu_var | Generate VAR(p) model data with break points |
| sparse.pen | L1-norm penalty for sparse component |
| summary.VARDetect.result | Function to summarize the change points estimated by... |
| summary.VARDetect.simu.result | A function to summarize the results for simulation |
| tbss | Block segmentation scheme (BSS). |
| third.step.exhaustive.search | Exhaustive search step (third step). |
| weekly | weekly stock price data |
