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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: | 0.1.8 |
| 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: | 2024-06-15 |
| DOI: | 10.32614/CRAN.package.VARDetect |
| Author: | Yue Bai [aut, cre], Peiliang Bai [aut], Abolfazl Safikhani [aut], George Michailidis [aut] |
| Maintainer: | Yue Bai <baiyue69 at gmail.com> |
| License: | GPL-2 |
| NeedsCompilation: | yes |
| In views: | TimeSeries |
| CRAN checks: | VARDetect results |
| Reference manual: | VARDetect.pdf |
| Package source: | VARDetect_0.1.8.tar.gz |
| Windows binaries: | r-devel: VARDetect_0.1.8.zip, r-release: VARDetect_0.1.8.zip, r-oldrel: VARDetect_0.1.8.zip |
| macOS binaries: | r-release (arm64): VARDetect_0.1.8.tgz, r-oldrel (arm64): VARDetect_0.1.8.tgz, r-release (x86_64): VARDetect_0.1.8.tgz, r-oldrel (x86_64): VARDetect_0.1.8.tgz |
| Old sources: | VARDetect archive |
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