Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package
结构化 VAR 模型的多变点检测:VARDetect R 包
Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuroscience and functional genomics. In many applications, the data exhibit structural changes in their autoregressive dynamics, which correspond to changes in the transition matrices of the VAR model that specify such dynamics. We present the R package VARDetect that implements two classes of…