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segMGarch  

Multiple Change-Point Detection for High-Dimensional GARCH Processes
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("segMGarch", "1.2")



Attach the package and use:
library("segMGarch")
Maintained by
Karolos Korkas
[Scholar Profile | Author Map]
First Published: 2018-12-29
Latest Update: 2019-01-17
Description:
Implements a segmentation algorithm for multiple change-point detection in high-dimensional GARCH processes. It simultaneously segments GARCH processes by identifying 'common' change-points, each of which can be shared by a subset or all of the component time series as a change-point in their within-series and/or cross-sectional correlation structure.
How to cite:
Karolos Korkas (2018). segMGarch: Multiple Change-Point Detection for High-Dimensional GARCH Processes. R package version 1.2, https://cran.r-project.org/web/packages/segMGarch. Accessed 29 Mar. 2025.
Previous versions and publish date:
1.0 (2018-12-29 00:20), 1.1 (2019-01-05 17:00)
Other packages that cited segMGarch R package
View segMGarch citation profile
Other R packages that segMGarch depends, imports, suggests or enhances
Complete documentation for segMGarch
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