Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models (Q5083365)
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scientific article; zbMATH DE number 7546468
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| English | Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models |
scientific article; zbMATH DE number 7546468 |
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Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models (English)
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22 June 2022
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block segmentation
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fused Lasso
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high-dimensional time series
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piecewise stationarity
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structural breaks
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