VARcpDetectOnline
Sequential Change Point Detection for High-Dimensional VAR Models
Implements the algorithm introduced in Tian, Y., and Safikhani, A. (2024) <doi:10.5705/ss.202024.0182>, "Sequential Change Point Detection in High-dimensional Vector Auto-regressive Models". This package provides tools for detecting change points in the transition matrices of VAR models, effectively identifying shifts in temporal and cross-correlations within high-dimensional time series data.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.2.0 |
rolling linux/jammy R-4.5 | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
rolling linux/noble R-4.5 | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
rolling source/ R- | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
latest linux/jammy R-4.5 | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
latest linux/noble R-4.5 | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
latest source/ R- | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
2026-04-26 source/ R- | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
2026-04-23 source/ R- | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |
0.2.0 |
2026-04-09 windows/windows R-4.5 | VARcpDetectOnline_0.2.0.zip |
4.1 MiB |
0.2.0 |
2025-04-20 source/ R- | VARcpDetectOnline_0.2.0.tar.gz |
4.1 MiB |