Multiple Change Point Detection in Structural VAR Models

Documentation for package ‘VARDetect’ version 0.1.8

detection_check	Function for detection performance check
eeg	EEG signal data
eval_func	Evaluation function, return the performance of simulation results
hausdorff_check	Function for Hausdorff distance computation
lag_selection	Select the lag of the VAR model using total BIC method
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 networks
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	Function 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