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.

Package details

AuthorHaeran Cho and Karolos Korkas
MaintainerKarolos Korkas <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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segMGarch documentation built on Jan. 19, 2019, 5:06 p.m.