splitMatrix

Splits a matrix of estimated coefficients into a list of matrices,
each corresponding to one lag of the VAR model.

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

splitMatrix function

<dl><dt>M</dt>
<dd>A numeric matrix of coefficients.</dd>
<dt>p</dt>
<dd>Integer. The order of the VAR model (number of lags).</dd></dl>

Arguments

Split Coefficient Matrix into VAR Lags — splitMatrix

<dl>

<dt>M</dt>
<dd>A numeric matrix of coefficients.</dd>


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

</dl>

splitMatrix: Split Coefficient Matrix into VAR Lags

Description

Usage

Value

Arguments