segMGarch

cranv1.3

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

License GPL (>= 2)0 versions1 maintainers8 deps78 weekly dl
https://CRAN.R-project.org/package=segMGarch
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RcppforeachiteratorsdoParallelfGarchcorpcormvtnormmethods
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First published · 2025-07-06 23:51:27

Last updated · 2025-07-06T22:20:01+00:00