Other packages > Find by keyword >

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", "1.3")



Attach the package and use:
library("segMGarch")
Maintained by
Karolos Korkas
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-12-29
Latest Update: 2025-07-06
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 1.3, https://cran.r-project.org/web/packages/segMGarch. Accessed 11 Jun. 2026.
Previous versions and publish date:
1.0 (2018-12-29 00:20), 1.1 (2019-01-05 17:00), 1.2 (2019-01-17 23:30)
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
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

stevedata  
Steve's Toy Data for Teaching About a Variety of Methodological, Social, and Political Topics
This is a collection of various kinds of data with broad uses for teaching. My students, and academ ...
Download / Learn more Package Citations See dependency  
leontief  
Input-Output Analysis
An implementation of the Input-Output model developed by Wassily Leontief that represents the inter ...
Download / Learn more Package Citations See dependency  
clusrank  
Wilcoxon Rank Tests for Clustered Data
Non-parametric tests (Wilcoxon rank sum test and Wilcoxon signed rank test) for clustered data docu ...
Download / Learn more Package Citations See dependency  
hsphase  
Phasing, Pedigree Reconstruction, Sire Imputation and Recombination Events Identification of Half-sib Families Using SNP Data
Identification of recombination events, haplotype reconstruction, sire imputation and pedigree recon ...
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  
Voss  
Generic Voss Algorithm (Random Sequential Additions)
Generating realizations of a fractal Brownian function on uniform 1D & 2D grid with classic and ...
Download / Learn more Package Citations See dependency  

27,372

R Packages

233,548

Dependencies

72,820

Author Associations

27,205

Publication Badges

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