An $L_0$-Norm Regularized Method for Multivariate Time Series Segmentation

DOI10.4208/EAJAM.180921.050122zbMath1493.62529OpenAlexW4213237603MaRDI QIDQ5061746

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Publication date: 14 March 2022

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.180921.050122

zbMATH Keywords

dynamic programmingsegmentationmultivariate time series\(L_0\)-norm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic programming in optimal control and differential games (49L20)

Uses Software

• BayesProject

Cites Work

• Unnamed Item
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