VARDetect: Multiple Change Point Detection in Structural VAR Models

Implementations of Thresholded Block Segmentation Scheme (TBSS) and Low-rank plus Sparse Two Step Procedure (LSTSP) algorithms for detecting multiple changes in structural VAR models. The package aims to address the problem of change point detection in piece-wise stationary VAR models, under different settings regarding the structure of their transition matrices (autoregressive dynamics); specifically, the following cases are included: (i) (weakly) sparse, (ii) structured sparse, and (iii) low rank plus sparse. It includes multiple algorithms and related extensions from Safikhani and Shojaie (2020) <doi:10.1080/01621459.2020.1770097> and Bai, Safikhani and Michailidis (2020) <doi:10.1109/TSP.2020.2993145>.

Version:	0.1.8
Depends:	R (≥ 3.5.0)
Imports:	stats, MTS, igraph, pracma, graphics, mvtnorm, sparsevar, lattice, Rcpp (≥ 1.0.7)
LinkingTo:	Rcpp, RcppArmadillo
Suggests:	knitr, rmarkdown
Published:	2024-06-15
DOI:	10.32614/CRAN.package.VARDetect
Author:	Yue Bai [aut, cre], Peiliang Bai [aut], Abolfazl Safikhani [aut], George Michailidis [aut]
Maintainer:	Yue Bai <baiyue69 at gmail.com>
License:	GPL-2
NeedsCompilation:	yes
In views:	TimeSeries
CRAN checks:	VARDetect results

Documentation:

Reference manual:

VARDetect.pdf

Downloads:

Package source:	VARDetect_0.1.8.tar.gz
Windows binaries:	r-devel: VARDetect_0.1.8.zip, r-release: VARDetect_0.1.8.zip, r-oldrel: VARDetect_0.1.8.zip
macOS binaries:	r-release (arm64): VARDetect_0.1.8.tgz, r-oldrel (arm64): VARDetect_0.1.8.tgz, r-release (x86_64): VARDetect_0.1.8.tgz, r-oldrel (x86_64): VARDetect_0.1.8.tgz
Old sources:	VARDetect archive

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