Package: segMGarch 1.3

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.

Authors:Haeran Cho [aut], Karolos Korkas [aut, cre]

segMGarch_1.3.tar.gz
segMGarch_1.3.zip(r-4.7)segMGarch_1.3.zip(r-4.6)segMGarch_1.3.zip(r-4.5)
segMGarch_1.3.tgz(r-4.6-x86_64)segMGarch_1.3.tgz(r-4.6-arm64)segMGarch_1.3.tgz(r-4.5-x86_64)segMGarch_1.3.tgz(r-4.5-arm64)
segMGarch_1.3.tar.gz(r-4.7-arm64)segMGarch_1.3.tar.gz(r-4.7-x86_64)segMGarch_1.3.tar.gz(r-4.6-arm64)segMGarch_1.3.tar.gz(r-4.6-x86_64)
segMGarch_1.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
segMGarch/json (API)

# Install 'segMGarch' in R:
install.packages('segMGarch', repos = c('https://kakoko1984.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

1.23 score 17 scripts 212 downloads 7 exports 23 dependencies

Last updated from:46b92b57c3. Checks:12 OK, 1 FAIL. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK168
linux-devel-x86_64OK130
source / vignettesOK177
linux-release-arm64OK148
linux-release-x86_64OK143
macos-release-arm64OK106
macos-release-x86_64OK260
macos-oldrel-arm64OK145
macos-oldrel-x86_64OK245
windows-develOK132
windows-releaseOK158
windows-oldrelOK145
wasm-releaseFAIL1429

Exports:DQtestgarch.seggen_pc_coefkupiecpc_cccsimpc_SigmaTL

Dependencies:codetoolscorpcorcvardoParallelfastICAfBasicsfGarchforeachgbutilsgssiteratorslatticeMASSMatrixmvtnormrbibutilsRcppRcppArmadilloRdpackspatialstabledisttimeDatetimeSeries

Readme and manuals

Help Manual

Help pageTopics
Multiple Change-Point Detection for High-Dimensional GARCH ProcessessegMGarch-package segMGarch
A regression-based test to backtest VaR models proposed by Engle and Manganelli (2004)DQtest DQtest,ANY-method DQtest-class DQtest-methods
An S4 method to detect the change-points in a high-dimensional GARCH process.garch.seg garch.seg,ANY-method garch.seg,tvMGarch-method garch.seg-class garch.seg-methods
A method to generate piecewise constant coefficientsgen_pc_coef gen_pc_coef,simMGarch-method gen_pc_coef-class gen_pc_coef-methods
Method to backtest VaR violation using the Kupiec statisticskupiec kupiec,ANY-method kupiec-class kupiec-methods
A method to simulate nonstationary high-dimensional CCC GARCH models.pc_cccsim pc_cccsim,simMGarch-method pc_cccsim-class pc_cccsim-methods
Method to simulate correlated variables with change-pointspc_Sigma pc_Sigma,simMGarch-method pc_Sigma-class pc_Sigma-methods
An S4 class for a nonstationary CCC model.simMGarch-class
Method to backtest VaR violation using the Traffic Light (TL) approach of BaselTL TL,ANY-method TL-class TL-methods
An S4 class for a nonstationary multivariate class model.tvMGarch-class