duplicateMatrix

Duplicates the original data matrix to create a lagged predictor matrix for VAR estimation.

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

duplicateMatrix function

<dl><dt>data</dt>
<dd>A numeric matrix with time series data (observations in rows).</dd>
<dt>p</dt>
<dd>Integer. The order of the VAR model (number of lags).</dd></dl>

Arguments

Construct Lagged Design Matrix for VAR — duplicateMatrix

<dl>

<dt>data</dt>
<dd>A numeric matrix with time series data (observations in rows).</dd>


<dt>p</dt>
<dd>Integer. The order of the VAR model (number of lags).</dd>

</dl>

duplicateMatrix: Construct Lagged Design Matrix for VAR

Description

Usage

Value

Arguments