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.
| Version: | 1.2 |
| Imports: | Rcpp (≥ 0.12.12), foreach, iterators, doParallel, fGarch, corpcor, mvtnorm, methods |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | MASS |
| Published: | 2019-01-17 |
| DOI: | 10.32614/CRAN.package.segMGarch |
| Author: | Haeran Cho and Karolos Korkas |
| Maintainer: | Karolos Korkas <kkorkas at yahoo.co.uk> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | yes |
| CRAN checks: | segMGarch results |
| Reference manual: | segMGarch.pdf |
| Package source: | segMGarch_1.2.tar.gz |
| Windows binaries: | r-devel: segMGarch_1.2.zip, r-release: segMGarch_1.2.zip, r-oldrel: segMGarch_1.2.zip |
| macOS binaries: | r-release (arm64): segMGarch_1.2.tgz, r-oldrel (arm64): segMGarch_1.2.tgz, r-release (x86_64): segMGarch_1.2.tgz, r-oldrel (x86_64): segMGarch_1.2.tgz |
| Old sources: | segMGarch archive |
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