Package: segMGarch
Type: Package
Title: Multiple Change-Point Detection for High-Dimensional GARCH
        Processes
Version: 1.2
Date: 2018-12-10
Author: Haeran Cho and  Karolos Korkas
Maintainer: Karolos Korkas <kkorkas@yahoo.co.uk>
Description: 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. 
License: GPL (>= 2)
Imports: Rcpp (>= 0.12.12), foreach, iterators, doParallel, fGarch,
        corpcor, mvtnorm, methods
Suggests: MASS
LinkingTo: Rcpp,RcppArmadillo
RoxygenNote: 6.1.1
Encoding: UTF-8
NeedsCompilation: yes
Packaged: 2019-01-17 22:14:49 UTC; korkas2
Repository: CRAN
Date/Publication: 2019-01-17 22:30:03 UTC
Built: R 4.1.3; x86_64-w64-mingw32; 2023-04-17 16:39:45 UTC; windows
Archs: i386, x64
