A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
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Publication:746267
DOI10.1007/s11222-011-9304-6zbMath1322.62210OpenAlexW2026051189MaRDI QIDQ746267
Yuehua Wu, Baisuo Jin, Xiao Ping Shi
Publication date: 16 October 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-011-9304-6
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Statistical ranking and selection procedures (62F07) Non-Markovian processes: hypothesis testing (62M07)
Related Items (9)
An $L_0$-Norm Regularized Method for Multivariate Time Series Segmentation ⋮ A novel group VIF regression for group variable selection with application to multiple change-point detection ⋮ Beta approximation and its applications ⋮ Multi-Threshold Structural Equation Model ⋮ Multi-threshold accelerated failure time model ⋮ A sequential multiple change-point detection procedure via VIF regression ⋮ Consistent two‐stage multiple change‐point detection in linear models ⋮ A Total Variation Based Method for Multivariate Time Series Segmentation ⋮ Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
Cites Work
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- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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