segMGarch: Multiple Change-Point Detection for High-Dimensional GARCH Processes

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.

Version: 1.2
Imports: Rcpp (≥ 0.12.12), foreach, iterators, doParallel, fGarch, corpcor, mvtnorm, methods
LinkingTo: Rcpp, RcppArmadillo
Suggests: MASS
Published: 2019-01-17
Author: Haeran Cho and Karolos Korkas
Maintainer: Karolos Korkas <kkorkas at yahoo.co.uk>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: segMGarch results

Downloads:

Reference manual: segMGarch.pdf
Package source: segMGarch_1.2.tar.gz
Windows binaries: r-devel: segMGarch_1.2.zip, r-release: segMGarch_1.2.zip, r-oldrel: segMGarch_1.2.zip
OS X binaries: r-release: segMGarch_1.2.tgz, r-oldrel: not available
Old sources: segMGarch archive

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