Package: vccp
Title: Vine Copula Change Point Detection in Multivariate Time Series
Version: 0.1.1
Authors@R: 
    c(person(given = "Xin",
           family = "Xiong",
           role = c("aut", "cre"),
           email = "xinxiong@hsph.harvard.edu"),
       person(given = "Ivor",
           family = "Cribben",
           role = c("aut"),
           email = "cribben@ualberta.ca"))
Author: Xin Xiong [aut, cre], Ivor Cribben [aut]
Maintainer: Xin Xiong <xinxiong@hsph.harvard.edu>
Description: Implements the Vine Copula Change Point (VCCP) methodology
        for the estimation of the number and location of multiple
        change points in the vine copula structure of multivariate time
        series. The method uses vine copulas, various state-of-the-art
        segmentation methods to identify multiple change points, and a
        likelihood ratio test or the stationary bootstrap for
        inference. The vine copulas allow for various forms of
        dependence between time series including tail, symmetric and
        asymmetric dependence. The functions have been extensively
        tested on simulated multivariate time series data and fMRI
        data. For details on the VCCP methodology, please see Xiong &
        Cribben (2021).
License: MIT + file LICENSE
Encoding: UTF-8
Roxygen: list(markdown = TRUE)
RoxygenNote: 7.1.1
Imports: VineCopula, stats, graphics, mosum, mvtnorm
Suggests: knitr, rmarkdown
Repository: https://xinxiong0238.r-universe.dev
Date/Publication: 2021-05-29 10:26:58 UTC
RemoteUrl: https://github.com/xinxiong0238/vccp
RemoteRef: HEAD
RemoteSha: 49f2182ac1112770d0fb4f2cd0d4b17f74d71c3d
NeedsCompilation: no
Packaged: 2026-10-13 12:25:49 UTC; root