DESCRIPTION

Package: fvarseg
Type: Package
Title: High-dimensional Time Series Segmentation via Factor-adjusted Vector Autoregressive Modelling
Version: 0.1.0
Authors@R: c(
    person("Haeran", "Cho", email = "haeran.cho@bristol.ac.uk", role = c("cre", "aut")),
    person("Hyeyoung", "Maeng", email = "h.maeng4@lancaster.ac.uk", role = "aut"),
    person("Paul", "Fearnhead", email = "p.fearnhead@lancaster.ac.uk", role = "aut"),
    person("Idris", "Eckley", email = "i.eckley@lancaster.ac.uk", role = "aut")
    )
Maintainer: Haeran Cho <haeran.cho@bristol.ac.uk>
Description: Implements a two-stage time series segmentation methodology proposed in <arXiv:2204.02724>. It first detects change points in the factor-driven common component, and then detects change points in the idiosyncratic vector autoregressive process.
Depends: R (>= 4.1.0)
Imports: 
    lpSolve,
    parallel,
    doParallel,
    foreach
License: GPL (>= 3)
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.1