Software for the paper "Multiple-change-point detection for auto-regressive
conditional heteroscedastic processes" by Fryzlewicz and Subba Rao
This web page accompanies the paper Multiple-change-point detection for auto-regressive conditional heteroscedastic processes by Piotr Fryzlewicz and Suhasini Subba Rao.
At the bottom of this page, you can download R code implementing the main algorithm of the paper: segmentation for the piecewise-stationary ARCH time series model. The code requires the prior installation and loading of the R package tseries (in R, go to Packages -> Install package(s)..., follow the instructions, and then issue the command library(tseries)).
The code is deliberately kept simple so that it is hopefully easy to understand and use. Please do let us know if you make any modifications or improvements to it or if you have any questions. Also please reference all use of the code. The main routine is called detection.
Download the code
Download R (free and easy-to-use software environment for statistics)