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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.3 |
rolling linux/jammy R-4.5 | segMGarch_1.3.tar.gz |
161.4 KiB |
1.3 |
rolling linux/noble R-4.5 | segMGarch_1.3.tar.gz |
162.4 KiB |
1.3 |
rolling source/ R- | segMGarch_1.3.tar.gz |
21.5 KiB |
1.3 |
latest linux/jammy R-4.5 | segMGarch_1.3.tar.gz |
161.4 KiB |
1.3 |
latest linux/noble R-4.5 | segMGarch_1.3.tar.gz |
162.4 KiB |
1.3 |
latest source/ R- | segMGarch_1.3.tar.gz |
21.5 KiB |
1.3 |
2026-04-26 source/ R- | segMGarch_1.3.tar.gz |
21.5 KiB |
1.3 |
2026-04-23 source/ R- | segMGarch_1.3.tar.gz |
21.5 KiB |
1.3 |
2026-04-09 windows/windows R-4.5 | segMGarch_1.3.zip |
482.1 KiB |
1.2 |
2025-04-20 source/ R- | segMGarch_1.2.tar.gz |
20.2 KiB |