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.
|Author||Haeran Cho and Karolos Korkas|
|Maintainer||Karolos Korkas <email@example.com>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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