VARDetect0.1.8 package

block fused sparse group lasso step (first step).

block fused lasso step (first step for BSS).

local screening step (second step).

Shrinkage function for low-rank soft-thresholding

Shrinkage function for sparse soft-thresholding

Function to deploy simulation with LSTSP algorithm

Simulation function for TBSS algorithm

Backward selection function for the second screening step

BIC and HBIC function

cluster the points by neighborhood size a_n

Compute local loss function.

Auxiliary function to calculate loss at the estimated change points

Main loss function for quardratic loss

Prediction function (single observation)

Function to print the change points estimated by VARDetect

Proximal function for nuclear norm penalty

Proximal function with nuclear norm penalty updating

Proximal function with l1-norm penalty updating

An auxiliary function in FISTA algorithm

helper function for detection check

Backward elimination algorithm for screening in the second step

Single change point detection for low-rank plus sparse model with cros...

cross-validation index function, separate train and test sets

a function to apply cross-validation to select tuning parameter by min...

Single change point detection for low-rank plus sparse model structure

Function for detection performance check

Evaluation function, return the performance of simulation results

First step rolling window function

A function to solve low rank plus sparse model estimation using FISTA ...

A helper function for implementing FISTA algorithm to estimate low-ran...

Gradient function of quardratic loss

Function for Hausdorff distance computation

Select the lag of the VAR model using total BIC method

Main function for the low rank plus sparse structure VAR model

Nuclear norm penalty for low-rank component

Objective function

Plotting the output from VARDetect.result class

Function to plot the sparsity levels for estimated model parameters

Function to plot Granger causality networks

Plot the AR coefficient matrix

Prediction function (block)

Generate VAR(p) model data with break points

L1-norm penalty for sparse component

Function to summarize the change points estimated by VARDetect

A function to summarize the results for simulation

Block segmentation scheme (BSS).

Exhaustive search step (third step).