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VARDetect
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", "0.1.8")
Attach the package and use:
library("VARDetect")
Maintained by
Yue Bai
[Scholar Profile | Author Map]
[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 0.1.8, https://cran.r-project.org/web/packages/VARDetect. Accessed 22 Dec. 2024.
Previous versions and publish date:
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Other R packages that VARDetect depends,
imports, suggests or enhances
Complete documentation for VARDetect
Functions, R codes and Examples using
the VARDetect R package
Some associated functions: BIC . Q.func . backward.selection . block.finder . break.var.local.new . break.var.lps . cv.detect.LpS . cv.separate . cv.tuning.selection . detect.LpS . detection_check . eval_func . f.func . first.step.blocks.group . first.step.blocks . first.step.detect . fista.LpS . fista.nuclear . gradf.func . hausdorff_check . lstsp . nuclear.pen . obj.func . plot.VARDetect.result . plot_density . plot_granger . plot_matrix . pred.block . pred . print.VARDetect.result . prox.nuclear.func.fLS . prox.nuclear.func . prox.sparse.func . remove.extra.pts . second.step.detect . second.step.local . shrinkage.lr . shrinkage . simu_lstsp . simu_tbss . simu_var . sparse.pen . summary.VARDetect.result . summary.VARDetect.simu.result . tbss . third.step.exhaustive.search . weekly .
Some associated R codes: Functions_BSS_SGL.R . Functions_LpS.R . RcppExports.R . data.R . Full VARDetect package functions and examples
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