R-universe - helloworld9293 (Helloworld9293)

VARcpDetectOnline - Sequential Change Point Detection for High-Dimensional VAR Models

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.

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2.48 score 3 stars 369 downloads

GrangerRKHS - RKHS-Based Nonlinear Granger Causality Testing via Conditional Centering

Provides methods for nonlinear Granger causality testing in reproducing kernel Hilbert space (RKHS), using kernel ridge regression for conditional mean estimation and conditional centering for construction of the test statistic.

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1.00 score 407 downloads