Package: VARDetect
Type: Package
Title: Multiple Change Point Detection in Structural VAR Models
Version: 0.1.6
Author: Yue Bai [aut, cre],
  Peiliang Bai [aut],
  Abolfazl Safikhani [aut],
  George Michailidis [aut]
Authors@R: c(person("Yue", "Bai", email = "baiyue@ufl.edu", role = c("aut", "cre")),
	person("Peiliang", "Bai", email = "baipl92@ufl.edu", role = c("aut")),
	person("Abolfazl", "Safikhani", email = "a.safikhani@ufl.edu", role = c("aut")),
	person("George", "Michailidis", email = "gmichail@ufl.edu", role = c("aut")))
Maintainer: Yue Bai <baiyue@ufl.edu>
Description: Implementations of Thresholded Block Segmentation Scheme (TBSS) and Low-rank plus Sparse Two Step Procedure (LSTSP) algorithms for detecting multiple changes in structural VAR models. The package aims to address the problem of change point detection in piece-wise stationary VAR models, under different settings regarding the structure of their transition matrices (autoregressive dynamics); specifically, the following cases are included: (i) (weakly) sparse, (ii) structured sparse, and (iii) low rank plus sparse. It includes multiple algorithms and related extensions from Safikhani and Shojaie (2020) <doi:10.1080/01621459.2020.1770097> and Bai, Safikhani and Michailidis (2020) <doi:10.1109/TSP.2020.2993145>.
License: GPL-2
LazyData: true
Depends: R (>= 3.5.0)
Imports: stats, MTS, igraph, pracma, graphics, mvtnorm, sparsevar,
        lattice, Rcpp (>= 1.0.7)
Encoding: UTF-8
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr, rmarkdown
RoxygenNote: 7.1.2
NeedsCompilation: yes
Packaged: 2022-05-09 16:46:10 UTC; yuebai
Repository: CRAN
Date/Publication: 2022-05-10 08:00:06 UTC
Built: R 4.1.3; x86_64-w64-mingw32; 2023-04-17 17:25:10 UTC; windows
Archs: i386, x64
