Research

• FNETS

An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling, by Dom Owens, Haeran Cho and Matteo Barigozzi. To appear in The R Journal. Available via CRAN

• MOSEG

High-dimensional data segmentation in regression settings permitting heavy tails and temporal dependence, by Haeran Cho and Dom Owens. R package available via github

• FNETS ArXiv

Factor-adjusted network estimation and forecasting for high-dimensional time series, by Matteo Barigozzi, Haeran Cho and Dom Owens. The Journal of Business and Economic Statistics. R package available via github

• Changepoints.jl

A Julia package for the detection of multiple changepoints in time series.

• mosum.py

A python package for the detection of multiple mean changes in time series data.