Other packages > Find by keyword >

vccp  

Vine Copula Change Point Detection in Multivariate Time Series
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("vccp", "0.1.1")



Attach the package and use:
library("vccp")
Maintained by
Xin Xiong
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-03-03
Latest Update: 2021-05-29
Description:
Implements the Vine Copula Change Point (VCCP) methodology for the estimation of the number and location of multiple change points in the vine copula structure of multivariate time series. The method uses vine copulas, various state-of-the-art segmentation methods to identify multiple change points, and a likelihood ratio test or the stationary bootstrap for inference. The vine copulas allow for various forms of dependence between time series including tail, symmetric and asymmetric dependence. The functions have been extensively tested on simulated multivariate time series data and fMRI data. For details on the VCCP methodology, please see Xiong & Cribben (2021).
How to cite:
Xin Xiong (2021). vccp: Vine Copula Change Point Detection in Multivariate Time Series. R package version 0.1.1, https://cran.r-project.org/web/packages/vccp. Accessed 05 Jun. 2026.
Previous versions and publish date:
0.1.0 (2021-03-03 10:20)
Other packages that cited vccp R package
View vccp citation profile
Other R packages that vccp depends, imports, suggests or enhances
Complete documentation for vccp
Functions, R codes and Examples using the vccp R package
Some associated functions: getTestPlot . mvn.sim.2.cps . vccp.fun . vccp . 
Some associated R codes: BootsTest.R . MOSUM_VC.R . MOSUM_VC_Boot.R . MOSUM_VC_Vuong.R . NBS_FindPoints.R . NBS_VC.R . OBS_VC.R . OBS_VC_Boot.R . OBS_VC_Vuong.R . Sim_Data.R . VCCP.R . VCCP_package.R . VuongTest.R . WBS_VC.R . getTestPlot.R .  Full vccp package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

envirem  
Generation of ENVIREM Variables
Generation of bioclimatic rasters that are complementary to the typical 19 bioclim variables. ...
Download / Learn more Package Citations See dependency  
crossurr  
Cross-Fitting for Doubly Robust Evaluation of High-Dimensional Surrogate Markers
Doubly robust methods for evaluating surrogate markers as outlined in: Agniel D, Hejblum BP, Thiebau ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
ibb  
R Wrapper for Istanbul Municipality Open Data Portal
Call wrappers for Istanbul Metropolitan Municipality's Open Data Portal (Turkish: Istanbul B ...
Download / Learn more Package Citations See dependency  
msm  
Multi-State Markov and Hidden Markov Models in Continuous Time
Functions for fitting continuous-time Markov and hidden Markov multi-state models to longitudinal d ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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