Non-monotonic penalizing for the number of structural breaks
From MaRDI portal
Publication:2259336
DOI10.1007/s00180-013-0419-4zbMath1306.62203OpenAlexW1983643140MaRDI QIDQ2259336
Erhard Reschenhofer, David Preinerstorfer, Lukas Steinberger
Publication date: 3 March 2015
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-013-0419-4
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Parametric or nonparametric? A parametricness index for model selection
- Bayesian averaging, prediction and nonnested model selection
- Testing and dating of structural changes in practice
- Estimating the number of change-points via Schwarz' criterion
- Approximating the Bayes factor
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Estimating the dimension of a model
- Information criterion for Gaussian change-point model
- The risk inflation criterion for multiple regression
- Information criteria for selecting possibly misspecified parametric models
- Identifying the determinants of foreign direct investment: a data-specific model selection approach
- Testing, monitoring, and dating structural changes in exchange rate regimes
- Fitting autoregressive models for prediction
- Calibration and empirical Bayes variable selection
- Admissible variable-selection procedures when fitting regression models by least squares for prediction
- Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
- An optimal selection of regression variables
- The problem of the Nile: Conditional solution to a changepoint problem
- Estimating and Testing Linear Models with Multiple Structural Changes
- PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?
- ON VARIABLE SELECTION IN LINEAR REGRESSION
- A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
- An estimator of the number of change points based on a weak invariance principle
This page was built for publication: Non-monotonic penalizing for the number of structural breaks