gen_pc_coef-class: A method to generate piecewise constant coefficients
In segMGarch: Multiple Change-Point Detection for High-Dimensional GARCH Processes

gen_pc_coef-class

R Documentation

A method to generate piecewise constant coefficients

Description

An auxilliary method to calculate piecewise constant coefficients for a user-specified vector of coefficients. The change-points are controlled by the changepoints slot in the simMGarch object.

Usage

gen_pc_coef(object, coef)

## S4 method for signature 'simMGarch'
gen_pc_coef(object, coef)

Arguments

`object`	A `simMGarch` object.
`coef`	A vector of coefficients.

References

Cho, H. and Korkas, K.K., 2022. High-dimensional GARCH process segmentation with an application to Value-at-Risk. Econometrics and Statistics, 23, pp.187-203.

Examples

pw.CCC.obj <- new("simMGarch")
coef.vector <- gen_pc_coef(pw.CCC.obj,c(0.2,0.4))
ts.plot(coef.vector,main="piecewise constant coefficients",ylab="coefficient",xlab="time")

segMGarch documentation built on Aug. 8, 2025, 6:07 p.m.