collaborators

1 paper

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…