Group LASSO for Structural Break Time Series
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Publication:4975401
DOI10.1080/01621459.2013.866566zbMath1367.62251OpenAlexW2016404801WikidataQ105583969 ScholiaQ105583969MaRDI QIDQ4975401
Chun Yip Yau, Ngai Hang Chan, Rong Mao Zhang
Publication date: 4 August 2017
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2013.866566
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
- Consistencies and rates of convergence of jump-penalized least squares estimators
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- Applied Linear Regression
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- Multiple Change-Point Estimation With a Total Variation Penalty
- Model Selection and Estimation in Regression with Grouped Variables
- Structural Break Estimation for Nonstationary Time Series Models
- Time Series
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