Package: segMGarch 1.2

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 and Karolos Korkas

segMGarch_1.2.tar.gz
segMGarch_1.2.zip(r-4.5)segMGarch_1.2.zip(r-4.4)segMGarch_1.2.zip(r-4.3)
segMGarch_1.2.tgz(r-4.4-x86_64)segMGarch_1.2.tgz(r-4.4-arm64)segMGarch_1.2.tgz(r-4.3-x86_64)segMGarch_1.2.tgz(r-4.3-arm64)
segMGarch_1.2.tar.gz(r-4.5-noble)segMGarch_1.2.tar.gz(r-4.4-noble)
segMGarch_1.2.tgz(r-4.4-emscripten)segMGarch_1.2.tgz(r-4.3-emscripten)
segMGarch.pdf |segMGarch.html✨
segMGarch/json (API)

# Install 'segMGarch' in R:
install.packages('segMGarch', repos = c('https://kakoko1984.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

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

1.20 score 16 scripts 158 downloads 7 exports 23 dependencies

Last updated 6 years agofrom:83a6b58993. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 07 2024
R-4.5-win-x86_64NOTENov 07 2024
R-4.5-linux-x86_64NOTENov 07 2024
R-4.4-win-x86_64OKNov 07 2024
R-4.4-mac-x86_64OKNov 07 2024
R-4.4-mac-aarch64OKNov 07 2024
R-4.3-win-x86_64OKNov 07 2024
R-4.3-mac-x86_64OKNov 07 2024
R-4.3-mac-aarch64OKNov 07 2024

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