segMGarch (Q147029)
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Multiple Change-Point Detection for High-Dimensional GARCH Processes
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | segMGarch |
Multiple Change-Point Detection for High-Dimensional GARCH Processes |
Statements
expanded from: GPL (≥ 2) (English)
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Haeran Cho
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6 July 2025
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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.
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