VARcpDetectOnline

cranv0.2.0

Sequential Change Point Detection for High-Dimensional VAR Models. 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

License GPL-2 | file LICENSE0 versions1 maintainers6 deps76 weekly dl
Helloworld9293/VARcpDetectOnline
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MASScorpcorMatrixglmnetdoParallelstats
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First published · 2025-02-13 08:52:41

Last updated · 2025-02-13T07:40:02+00:00