scientific article; zbMATH DE number 7448681

DOI10.3969/J.ISSN.0253-2778.2020.06.005MaRDI QIDQ5017302zbMATHFDO

Authors Jie Liu, Xiaoyuan Chen, Zun Wu

Publication date 17 December 2021

zbMATH Keywords

model selectionadaptive Lassochange-points estimationpiecewise stationary autoregressive

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Geostatistics (86A32)

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(2)

• Group Lasso for structural break time series
• A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models

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