Non-monotonic penalizing for the number of structural breaks

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

zbMATH Keywords

subset selectionrandom walkvariable selectionbreaks in the drift

Mathematics Subject Classification ID

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)

Detecting non-simultaneous changes in means of vectors

Uses Software

• R

Cites Work

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