Man pages for segMGarch
Multiple Change-Point Detection for High-Dimensional GARCH Processes

DQtest-methodsA regression-based test to backtest VaR models proposed by...
garch.seg-classAn S4 method to detect the change-points in a...
gen_pc_coef-classA method to generate piecewise constant coefficients
kupiec-methodsMethod to backtest VaR violation using the Kupiec statistics
pc_cccsim-methodsA method to simulate nonstationary high-dimensional CCC GARCH...
pc_Sigma-methodsMethod to simulate correlated variables with change-points
segMGarch-packageMultiple Change-Point Detection for High-Dimensional GARCH...
simMGarch-classAn S4 class for a nonstationary CCC model.
TL-methodsMethod to backtest VaR violation using the Traffic Light (TL)...
tvMGarch-classAn S4 class for a nonstationary multivariate class model.
segMGarch documentation built on May 2, 2019, 7:23 a.m.