Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
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Publication:5083365
Cites work
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
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- Sparsity and Smoothness Via the Fused Lasso
- Structural Break Estimation for Nonstationary Time Series Models
- Structural breaks in time series
- Tail-greedy bottom-up data decompositions and fast multiple change-point detection
- Wild binary segmentation for multiple change-point detection
Cited in
(5)- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- Computation and analysis of change points with different jump locations in high-dimensional regression
- scientific article; zbMATH DE number 7218949 (Why is no real title available?)
- Using Chernoff’s Bounding Method for High-Performance Structural Break Detection and Forecast Error Reduction
- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
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