VARcpDetectOnline (version 0.2.0)
Sequential Change Point Detection for High-Dimensional VAR
Models
Description
Implements the algorithm introduced in Tian, Y., and Safikhani, A. (2024)
, "Sequential Change Point Detection in High-dimensional
Vector Auto-regressive Models". This package provides tools for detecting change points
in the transition matrices of VAR models, effectively identifying shifts in temporal
and cross-correlations within high-dimensional time series data.