Change points detection and parameter estimation for multivariate time series

DOI10.1007/S00500-019-04135-8MaRDI QIDQ2153567zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 11 July 2022

Published in Soft Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00500-019-04135-8

zbMATH Keywords

change pointsgroup LassoVAR model

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Asymptotic properties of Lasso+mLS and Lasso+Ridge in sparse high-dimensional linear regression
• Detection of changes in multivariate time series with application to EEG data
• Group Lasso for structural break time series
• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Least angle regression. (With discussion)
• Likelihood ratio tests for multiple structural changes
• Model Selection and Estimation in Regression with Grouped Variables
• Multiple Change-Point Estimation With a Total Variation Penalty
• Regularized estimation in sparse high-dimensional time series models
• Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
• Structural Break Estimation for Nonstationary Time Series Models
• Structural Breaks in Financial Time Series
• Testing for change points in time series
• The Adaptive Lasso and Its Oracle Properties

Cited in

(31)

• Multiscale spectral analysis for detecting short and long range change points in time series
• Detecting changes in cross-sectional dependence in multivariate time series
• The multiple filter test for change point detection in time series
• Change-point estimation in the multivariate model taking into account the dependence: application to the vegetative development of oilseed rape
• Simultaneous multiple change-point and factor analysis for high-dimensional time series
• Multiple change-point detection: a selective overview
• Algorithm for the detection of changes in the dynamics of a multivariate time series via sliced cross-bispectrum
• Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
• A comparison of single and multiple changepoint techniques for time series data
• Multiple change point detection and validation in autoregressive time series data
• Change-point detection in time-series data by relative density-ratio estimation
• Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
• scientific article; zbMATH DE number 58691 (Why is no real title available?)
• Nonparametric change point detection in multivariate piecewise stationary time series
• Quickest change point detection with multiple postchange models
• S3T: A score statistic for spatiotemporal change point detection
• Group Lasso for structural break time series
• Bivariate change point detection: Joint detection of changes in expectation and variance
• Semiparametric method for detecting multiple change points model in financial time series
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
• A Bayesian wavelet approach to estimation of a change-point in a nonlinear multivariate time series
• Change Point Estimation of Multivariate Linear Profiles Under Linear Drift
• Detection of changes in multivariate time series with application to EEG data
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• A pairwise likelihood-based approach for changepoint detection in multivariate time series models
• Nonparametric multiple change point estimation in highly dependent time series
• Micro–Macro Changepoint Inference for Periodic Data Sequences
• Multiple structural breaks in vector error correction models
• Group orthogonal greedy algorithm for change-point estimation of multivariate time series
• A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting
• Time-based detection of changes to multivariate patterns

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