estimateCovariance

Estimates the covariance (or variance) matrix of the residuals using shrinkage estimation.
This function utilizes <code>corpcor::cov.shrink</code> for covariance 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

estimateCovariance function

<dl><dt>res</dt>
<dd>A numeric matrix of residuals from the VAR model.</dd>
<dt>...</dt>
<dd>Additional arguments passed to <code>corpcor::cov.shrink</code> (if any).</dd></dl>

Arguments

Estimate Covariance Matrix from Residuals — estimateCovariance

<dl>

<dt>res</dt>
<dd>A numeric matrix of residuals from the VAR model.</dd>


<dt>...</dt>
<dd>Additional arguments passed to <code>corpcor::cov.shrink</code> (if any).</dd>

</dl>

estimateCovariance: Estimate Covariance Matrix from Residuals

Description

Usage

Value

Arguments