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VARDetect  

Multiple Change Point Detection in Structural VAR Models
View on CRAN: Click here


Download and install VARDetect package within the R console
Install from CRAN:
install.packages("VARDetect")

Install from Github:
library("remotes")
install_github("cran/VARDetect")

Install by package version:
library("remotes")
install_version("VARDetect", "0.1.6")



Attach the package and use:
library("VARDetect")
Maintained by
Yue Bai
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-05-17
Latest Update: 2022-05-10
Description:
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>.
How to cite:
Yue Bai (2021). VARDetect: Multiple Change Point Detection in Structural VAR Models. R package version 0.1.6, https://cran.r-project.org/web/packages/VARDetect
Previous versions and publish date:
0.1.2 (2021-05-17 09:00), 0.1.3 (2021-05-27 12:40), 0.1.4 (2021-09-09 06:30), 0.1.5 (2021-09-19 23:10)
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