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.
Version: 1.3 Imports: Rcpp (≥ 0.12.12), foreach, iterators, doParallel, fGarch, corpcor, mvtnorm, methods LinkingTo: Rcpp, RcppArmadillo Suggests: MASS Published: 2025-07-06 DOI: 10.32614/CRAN.package.segMGarch Author: Haeran Cho [aut], Karolos Korkas [aut, cre] Maintainer: Karolos Korkas <kkorkas at yahoo.co.uk> License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] NeedsCompilation: yes CRAN checks: segMGarch results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=segMGarch to link to this page.
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