VARDetect

swMATH38652CRANVARDetectMaRDI QIDQ54352FDOQ54352

Multiple Change Point Detection in Structural VAR Models

Abolfazl Safikhani, Yue Bai, Peiliang Bai, George Michailidis

Last update: 10 May 2022

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.1.6

Source code repository: https://github.com/cran/VARDetect

Cites work

• Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
• Multiple Change Points Detection in Low Rank and Sparse High Dimensional Vector Autoregressive Models

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