Multiple Change Point Detection in Structural VAR Models

Documentation for package ‘VARDetect’ version 0.1.5

detection_check	function for detection check
eval_func	Evaluation function, return the performance of simulation results
hausdorff_check	function for hausdorff distance computation
lstsp	Main function for the low rank plus sparse structure VAR model
plot.VARDetect.result	Plotting the output from VARDetect.result class
plot_density	Function to plot the sparsity levels for estimated model parameters
plot_granger	Function to plot Granger causality network
plot_matrix	Plot the AR coefficient matrix
print.VARDetect.result	Function to print the change points estimated by VARDetect
simu_lstsp	Function to deploy simulation with LSTSP algorithm
simu_tbss	Simulation function for TBSS algorithm
simu_var	Generate VAR(p) model data with break points
summary.VARDetect.result	Funciton to summarize the change points estimated by VARDetect
summary.VARDetect.simu.result	A function to summarize the results for simulation
tbss	block segmentation scheme (BSS).
weekly	weekly stock price data