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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 |
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Author | Haeran Cho and Karolos Korkas |
Maintainer | Karolos Korkas <kkorkas@yahoo.co.uk> |
License | GPL (>= 2) |
Version | 1.2 |
Package repository | View on CRAN |
Installation |
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