Other packages > Find by keyword >

VARcpDetectOnline  

Sequential Change Point Detection for High-Dimensional VAR Models
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("VARcpDetectOnline", "0.2.0")



Attach the package and use:
library("VARcpDetectOnline")
Maintained by
Yuhan Tian
[Scholar Profile | Author Map]
First Published: 2025-01-09
Latest Update: 2025-01-09
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 Vector Auto-Regressive (VAR) models, effectively identifying shifts in temporal and cross-correlations within high-dimensional time series data. The package includes functions to generate synthetic VAR data, detect change points in high-dimensional time series, and analyze real-world data. It also demonstrates an application to financial data: the daily log returns of 186 S&P 500 stocks from 2004-02-06 to 2016-03-02.
How to cite:
Yuhan Tian (2025). VARcpDetectOnline: Sequential Change Point Detection for High-Dimensional VAR Models. R package version 0.2.0, https://cran.r-project.org/web/packages/VARcpDetectOnline. Accessed 10 May. 2025.
Previous versions and publish date:
0.1.0 (2025-01-09 15:10)
Other packages that cited VARcpDetectOnline R package
View VARcpDetectOnline citation profile
Other R packages that VARcpDetectOnline depends, imports, suggests or enhances
Complete documentation for VARcpDetectOnline
Functions, R codes and Examples using the VARcpDetectOnline R package
Full VARcpDetectOnline package functions and examples
Downloads during the last 30 days
04/1004/1104/1204/1304/1404/1504/1604/1704/1804/1904/2004/2104/2204/2304/2404/2504/2604/2704/2804/2904/3005/0105/0205/0305/0405/0505/0605/0705/0805/09Downloads for VARcpDetectOnline2468101214161820TrendBars

Today's Hot Picks in Authors and Packages

distreg.vis  
Framework for the Visualization of Distributional Regression Models
Functions for visualizing distributional regression models fitted using the 'gamlss', 'bamlss' or 'b ...
Download / Learn more Package Citations See dependency  
hdpGLM  
Hierarchical Dirichlet Process Generalized Linear Models
Implementation of MCMC algorithms to estimate the Hierarchical Dirichlet Process Generalized Linear ...
Download / Learn more Package Citations See dependency  
dataprep  
Efficient and Flexible Data Preprocessing Tools
Efficiently and flexibly preprocess data using a set of data filtering, deletion, and interpolation ...
Download / Learn more Package Citations See dependency  
specklestar  
Reduction of Speckle Data from BTA 6-m Telescope
A set of functions for obtaining positional parameters and magnitude difference between components o ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  

24,205

R Packages

207,311

Dependencies

65,402

Author Associations

24,206

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA