gen_pc_coef-class: A method to generate piecewise constant coefficients

In segMGarch: Multiple Change-Point Detection for High-Dimensional GARCH Processes

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, Haeran, and Karolos Korkas. "High-dimensional GARCH process segmentation with an application to Value-at-Risk." arXiv preprint arXiv:1706.01155 (2018).

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 May 2, 2019, 7:23 a.m.