breakPSAR
is an R
package for A novel and Fast Multiple Structural Break Estimation for Nonstationary Time Series Models.
# install.packages("devtools")
devtools::install_github("liygCR/breakPSAR/breakPSAR")
A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for piecewise stationary autoregressive (PSAR) processes. Modern penalized model selection is introduced for detecting multiple structural breaks. It also simultaneously performs variable selection for each autoregressive model and hence the order selection.
Jin, B., Shi, X., and Wu, Y. (2013). A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models. Statistics and Computing, 23(2), 221-231. DOI 10.1007/s11222-011-9304-6