VARcpDetectOnline
Sequential Change Point Detection for High-Dimensional VAR Models
v0.2.0
·
Feb 13, 2025
·
GPL-2 | file LICENSE
Description
Implements the algorithm introduced in Tian, Y., and Safikhani, A. (2024) <doi:10.5705/ss.202024.0182>, "Sequential Change Point Detection in High-dimensional Vector Auto-regressive Models". This package provides tools for detecting change points in the transition matrices of VAR models, effectively identifying shifts in temporal and cross-correlations within high-dimensional time series data.
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| r-release-windows-x86_64 | OK |