Changepoint detection by the quantile Lasso method

DOI10.1007/S42519-019-0078-ZzbMath1437.62275arXiv1901.04691OpenAlexW2994802072WikidataQ126564312 ScholiaQ126564312MaRDI QIDQ2301226

Gabriela Ciuperca, Matúš Maciak

Publication date: 24 February 2020

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.04691

zbMATH Keywords

changepointsconsistencysparsityautomatic detectionpiece-wise constant modelquantile Lasso

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Investment disputes and their explicit role in option market uncertainty and overall risk instability ⋮ Implied Volatility Surface Estimation via Quantile Regularization

Uses Software

• PDCO

Cites Work

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