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Implements the algorithm introduced in Tian, Y., and Safikhani, A. (2024) <doi:10.5705/ss.202024.0182>, "Sequential Change Point Detection in High-dimensional Vector Auto-regressive Models". This package provides tools for detecting change points in the transition matrices of VAR models, effectively identifying shifts in temporal and cross-correlations within high-dimensional time series data.
| Version: | 0.2.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | MASS, corpcor, Matrix, glmnet, doParallel, stats |
| Suggests: | ggplot2 |
| Published: | 2025-02-13 |
| DOI: | 10.32614/CRAN.package.VARcpDetectOnline |
| Author: | Yuhan Tian [aut, cre], Abolfazl Safikhani [aut] |
| Maintainer: | Yuhan Tian <yuhan.tian at ufl.edu> |
| BugReports: | https://github.com/Helloworld9293/VARcpDetectOnline/issues |
| License: | GPL-2 | file LICENSE |
| URL: | https://github.com/Helloworld9293/VARcpDetectOnline |
| NeedsCompilation: | no |
| Materials: | NEWS |
| In views: | TimeSeries |
| CRAN checks: | VARcpDetectOnline results |
| Reference manual: | VARcpDetectOnline.pdf |
| Package source: | VARcpDetectOnline_0.2.0.tar.gz |
| Windows binaries: | r-devel: VARcpDetectOnline_0.2.0.zip, r-release: VARcpDetectOnline_0.2.0.zip, r-oldrel: VARcpDetectOnline_0.2.0.zip |
| macOS binaries: | r-devel (arm64): VARcpDetectOnline_0.2.0.tgz, r-release (arm64): VARcpDetectOnline_0.2.0.tgz, r-oldrel (arm64): VARcpDetectOnline_0.2.0.tgz, r-devel (x86_64): VARcpDetectOnline_0.2.0.tgz, r-release (x86_64): VARcpDetectOnline_0.2.0.tgz, r-oldrel (x86_64): VARcpDetectOnline_0.2.0.tgz |
| Old sources: | VARcpDetectOnline archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.