gen_pc_coef-class

gen_pc_coef

gen_pc_coef-methods

gen_pc_coef,simMGarch-method

An auxilliary method to calculate piecewise constant coefficients for a user-specified vector of coefficients. The change-points are controlled
by the <code>changepoints</code> slot in the <code>simMGarch</code> object.

Implements a segmentation algorithm for multiple change-point detection in high-dimensional GARCH processes. It simultaneously segments GARCH processes by identifying 'common' change-points, each of which can be shared by a subset or all of the component time series as a change-point in their within-series and/or cross-sectional correlation structure.

Karolos Korkas

segMGarch

Multiple Change-Point Detection for High-Dimensional GARCH
Processes

Haeran Cho

gen_pc_coef-class function

<dl><dt>object</dt>
<dd>A <code>simMGarch</code> object.</dd>
<dt>coef</dt>
<dd>A vector of coefficients.</dd></dl>

Arguments

A method to generate piecewise constant coefficients — gen_pc_coef-class

<dl>

<dt>object</dt>
<dd>A <code>simMGarch</code> object.</dd>


<dt>coef</dt>
<dd>A vector of coefficients.</dd>

</dl>

gen_pc_coef-class: A method to generate piecewise constant coefficients

Description

Usage

Arguments

References

Examples