most citedMultiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models

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stat.ME2021★ 1 cited

Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models

Peiliang Bai, Abolfazl Safikhani, George Michailidis

We study the problem of detecting and locating change points in high-dimensional Vector Autoregressive (VAR) models, whose transition matrices exhibit low rank plus sparse structur…

stat.ME2021

Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package

Peiliang Bai, Yue Bai, Abolfazl Safikhani +1

Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuro…