segMGarch (1.2)

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Multiple Change-Point Detection for High-Dimensional GARCH Processes.

http://cran.r-project.org/web/packages/segMGarch

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.

Maintainer: Karolos Korkas
Author(s): Haeran Cho and Karolos Korkas

License: GPL (>= 2)

Uses: corpcor, doParallel, fGarch, foreach, iterators, mvtnorm, Rcpp, MASS

Released 9 months ago.


2 previous versions

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