applyThreshold

Applies a thresholding rule to a coefficient matrix by setting entries below a
certain threshold to zero. Two types of thresholding are available: "soft" and "hard".

internal

Implements the algorithm introduced in Tian, Y., and Safikhani, A. (2024)
<doi:10.5705/ss.202024.0182>, "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.

Yuhan Tian

VARcpDetectOnline

Sequential Change Point Detection for High-Dimensional VAR
Models

Abolfazl Safikhani

applyThreshold function

<dl><dt>a_mat</dt>
<dd>Numeric matrix. The coefficient matrix to be thresholded.</dd>
<dt>nr</dt>
<dd>Integer. The number of rows in the original data.</dd>
<dt>nc</dt>
<dd>Integer. The number of variables (columns) in the original data.</dd>
<dt>p</dt>
<dd>Integer. The order of the VAR model.</dd>
<dt>type</dt>
<dd>Character. The type of threshold to apply; either <code>"soft"</code> (default)
or <code>"hard"</code>.</dd></dl>

Arguments

Apply Thresholding to VAR Coefficients — applyThreshold

<dl>

<dt>a_mat</dt>
<dd>Numeric matrix. The coefficient matrix to be thresholded.</dd>


<dt>nr</dt>
<dd>Integer. The number of rows in the original data.</dd>


<dt>nc</dt>
<dd>Integer. The number of variables (columns) in the original data.</dd>


<dt>p</dt>
<dd>Integer. The order of the VAR model.</dd>


<dt>type</dt>
<dd>Character. The type of threshold to apply; either <code>"soft"</code> (default)
or <code>"hard"</code>.</dd>

</dl>

applyThreshold: Apply Thresholding to VAR Coefficients

Description

Usage

Value

Arguments