VARDetect: Multiple Change Point Detection in Structural VAR Models

Implementations of Thresholded Block Segmentation Scheme (TBSS) and Low-rank plus Sparse Two Step Procedure (LSTSP) algorithms for detecting multiple changes in structural VAR models. The package aims to address the problem of change point detection in piece-wise stationary VAR models, under different settings regarding the structure of their transition matrices (autoregressive dynamics); specifically, the following cases are included: (i) (weakly) sparse, (ii) structured sparse, and (iii) low rank plus sparse. It includes multiple algorithms and related extensions from Safikhani and Shojaie (2020) <doi:10.1080/01621459.2020.1770097> and Bai, Safikhani and Michailidis (2020) <doi:10.1109/TSP.2020.2993145>.

Version: 0.1.6
Depends: R (≥ 3.5.0)
Imports: stats, MTS, igraph, pracma, graphics, mvtnorm, sparsevar, lattice, Rcpp (≥ 1.0.7)
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
Published: 2022-05-10
Author: Yue Bai [aut, cre], Peiliang Bai [aut], Abolfazl Safikhani [aut], George Michailidis [aut]
Maintainer: Yue Bai <baiyue at ufl.edu>
License: GPL-2
NeedsCompilation: yes
In views: TimeSeries
CRAN checks: VARDetect results

Documentation:

Reference manual: VARDetect.pdf

Downloads:

Package source: VARDetect_0.1.6.tar.gz
Windows binaries: r-devel: VARDetect_0.1.6.zip, r-release: VARDetect_0.1.6.zip, r-oldrel: VARDetect_0.1.6.zip
macOS binaries: r-release (arm64): VARDetect_0.1.6.tgz, r-oldrel (arm64): VARDetect_0.1.6.tgz, r-release (x86_64): VARDetect_0.1.6.tgz
Old sources: VARDetect archive

Reverse dependencies:

Reverse suggests: fastcpd

Linking:

Please use the canonical form https://CRAN.R-project.org/package=VARDetect to link to this page.