Sequential Change Point Detection for High-Dimensional VAR Models
Apply Thresholding to VAR Coefficients
Compute VAR Model Residuals
Cross Validation for Elastic Net VAR Estimation
Transform Data for VAR Estimation
VAR_cpDetect_Online: Sequential change point Detection for Vector Auto...
Cross-Validated VAR Estimation using Elastic Net
Construct Lagged Design Matrix for VAR
Estimate Covariance Matrix from Residuals
Fit VAR Model with Elastic Net via Cross Validation
Generate VAR Data
Identify the Beginning of the Alarm Clusters
Split Coefficient Matrix into VAR Lags
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.
Useful links