Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
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Publication:5083365
DOI10.1080/10618600.2021.1950005OpenAlexW3177970040MaRDI QIDQ5083365FDOQ5083365
Authors: Abolfazl Safikhani, Yue Bai, George Michailidis 
Publication date: 22 June 2022
Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10618600.2021.1950005
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Cited In (5)
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- Using Chernoff’s Bounding Method for High-Performance Structural Break Detection and Forecast Error Reduction
- Computation and analysis of change points with different jump locations in high-dimensional regression
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- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
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