segMGarch: Multiple Change-Point Detection for High-Dimensional GARCHProcesses
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 |
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