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VARcpDetectOnline: Sequential Change Point Detection for High-Dimensional VAR Models
Implements the algorithm introduced in Tian, Y., and Safikhani, A. (2024) <doi:10.5705/ss.202024.0182>, "Sequential Change Point Detection in High-dimensional Vector Auto-regressive Models". This package provides tools for detecting change points in the transition matrices of VAR models, effectively identifying shifts in temporal and cross-correlations within high-dimensional time series data.
Getting started
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Package details |
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| Author | Yuhan Tian [aut, cre], Abolfazl Safikhani [aut] |
| Maintainer | Yuhan Tian <yuhan.tian@ufl.edu> |
| License | GPL-2 | file LICENSE |
| Version | 0.2.0 |
| URL | https://github.com/Helloworld9293/VARcpDetectOnline |
| Package repository | View on CRAN |
| Installation |
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