Group Lasso for structural break time series
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Cites work
- Applied Linear Regression
- Automatic Statistical Analysis of Bivariate Nonstationary Time Series
- Consistencies and rates of convergence of jump-penalized least squares estimators
- Estimating and Testing Linear Models with Multiple Structural Changes
- Model Selection and Estimation in Regression with Grouped Variables
- Multiple Change-Point Estimation With a Total Variation Penalty
- Sequential segmentation of nonstationary digital signals using spectral analysis
- Simultaneous analysis of Lasso and Dantzig selector
- Sparsity and Smoothness Via the Fused Lasso
- Structural Break Estimation for Nonstationary Time Series Models
- Testing for change points in time series
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Time Series
- Time-series segmentation: A model and a method
Cited in
(60)- Iteratively reweighted adaptive Lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Change points detection and parameter estimation for multivariate time series
- Robust change point detection method via adaptive LAD-Lasso
- Relevant parameter changes in structural break models
- Change-point methods for multivariate time-series: paired vectorial observations
- A shape-based cutting and clustering algorithm for multiple change-point detection
- Quasi-likelihood estimation of structure-changed threshold double autoregressive models
- Multiple changepoint detection with partial information on changepoint times
- Structural change estimation in time series regressions with endogenous variables
- Group fused Lasso for large factor models with multiple structural breaks
- Multiple structural breaks in cointegrating regressions: a model selection approach
- On consistency of minimum description length model selection for piecewise autoregressions
- Solving Fused Penalty Estimation Problems via Block Splitting Algorithms
- Oracle estimation of a change point in high-dimensional quantile regression
- Structural break detection in financial durations
- Time-Varying Autoregression with Low-Rank Tensors
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Inference for Structural Breaks in Spatial Models
- Alternating Pruned Dynamic Programming for Multiple Epidemic Change-Point Estimation
- Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
- A modified information criterion for tuning parameter selection in 1d fused LASSO for inference on multiple change points
- scientific article; zbMATH DE number 7255573 (Why is no real title available?)
- Sparse change-point HAR models for realized variance
- Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- Multikink Quantile Regression for Longitudinal Data with Application to Progesterone Data Analysis
- Penetrating sporadic return predictability
- Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks
- A novel group VIF regression for group variable selection with application to multiple change-point detection
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- Lasso in Infinite dimension: application to variable selection in functional multivariate linear regression
- Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
- Changepoint Detection in Heteroscedastic Random Coefficient Autoregressive Models
- Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model
- Scalable multiple changepoint detection for functional data sequences
- A note on asymptotic properties of time series models with a trend break
- Inference on nonstationary heavy-tailed AR processes via model selection
- High-dimensional change point detection with missing values
- Simultaneously detecting spatiotemporal changes with penalized Poisson regression models
- Change point estimation for high-dimensional time series with network structure
- An extreme-value test for structural breaks in spatial trends
- Penalized Sparse Covariance Regression with High Dimensional Covariates
- Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle
- Shrinkage estimators for periodic autoregressions
- Testing for distributional structural change with unknown breaks: application to pricing crop insurance contracts
- Bayesian uncertainty quantification and structure detection for multiple change points models
- Linking Frequentist and Bayesian Change-Point Methods
- Shrinkage and noniterative estimation for moving average models with structural breaks
- Spectral change point estimation for high-dimensional time series by sparse tensor decomposition
- Model selection for unit-root time series with many predictors
- High-dimensional banded vector autoregressions subject to structural breaks
- Group regression with tailored penalties for high-dimensional data with or without predefined groups
- Group LASSO for multiple change-point detection in a generalized integer-valued autoregressive model
- Simultaneous change point detection and identification for high-dimensional linear models
- Multiple structural breaks in vector error correction models
- Group orthogonal greedy algorithm for change-point estimation of multivariate time series
- LASSO estimation of threshold autoregressive models
- Two-stage data segmentation permitting multiscale change points, heavy tails and dependence
- Optimal nonparametric change point analysis
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