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: |
1.3 |
| Imports: |
Rcpp (≥ 0.12.12), foreach, iterators, doParallel, fGarch, corpcor, mvtnorm, methods |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
MASS |
| Published: |
2025-07-06 |
| DOI: |
10.32614/CRAN.package.segMGarch |
| Author: |
Haeran Cho [aut],
Karolos Korkas [aut, cre] |
| Maintainer: |
Karolos Korkas <kkorkas at yahoo.co.uk> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| CRAN checks: |
segMGarch results |
Documentation:
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