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]
All associated links for this package
First Published: 2025-01-09
Latest Update: 2025-02-13
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 28 Jun. 2026.
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

Today's Hot Picks in Authors and Packages

arnie  
"Arnie" box office records 1982-2014
Arnold Schwarzenegger movie weekend box office records from1982-2014 ...
Download / Learn more Package Citations See dependency  
geoelectrics  
3D-Visualization of Geoelectric Resistivity Measurement Profiles
Visualizes two-dimensional geoelectric resistivity measurement profiles in three dimensions. ...
Download / Learn more Package Citations See dependency  
Rirt  
Data Analysis and Parameter Estimation Using Item Response Theory
Parameter estimation, computation of probability, information, and (log-)likelihood, and visualizat ...
Download / Learn more Package Citations See dependency  
XKCDdata  
Get XKCD Comic Data
Download data from individual XKCD comics, written by Randall Munroe < ...
Download / Learn more Package Citations See dependency  
EventWinRatios  
Event-Specific Win Ratios for Terminal and Non-Terminal Events
Provides several confidence interval and testing procedures using event-specific win ratios for sem ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  

27,653

R Packages

236,180

Dependencies

73,487

Author Associations

27,536

Publication Badges

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