A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
DOI10.1007/S11222-011-9304-6zbMATH Open1322.62210OpenAlexW2026051189MaRDI QIDQ746267FDOQ746267
Authors: Baisuo Jin, Yuehua Wu, Xiaoping 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
Recommendations
- Structural Break Estimation for Nonstationary Time Series Models
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- scientific article; zbMATH DE number 7448681
- Multiscale and multilevel technique for consistent segmentation of nonstationary time series
- Group orthogonal greedy algorithm for change-point estimation of multivariate time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical ranking and selection procedures (62F07) Ridge regression; shrinkage estimators (Lasso) (62J07) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Nearly unbiased variable selection under minimax concave penalty
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- Structural Break Estimation for Nonstationary Time Series Models
- Testing for a change in the parameter values and order of an autoregressive model
- Title not available (Why is that?)
- Estimation of the arrival times of seismic waves by multivariate time series model
Cited In (18)
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- Group Lasso for structural break time series
- Multi-threshold accelerated failure time model
- A Total Variation Based Method for Multivariate Time Series Segmentation
- A model-based multithreshold method for subgroup identification
- Multi-threshold proportional hazards model and subgroup identification
- Multi-Threshold Structural Equation Model
- An \(L_0\)-norm regularized method for multivariate time series segmentation
- A sequential multiple change-point detection procedure via VIF regression
- Consistent two‐stage multiple change‐point detection in linear models
- A novel group VIF regression for group variable selection with application to multiple change-point detection
- Piecewise quantile autoregressive modeling for nonstationary time series
- Structural Break Estimation for Nonstationary Time Series Models
- Estimating multiple breaks in nonstationary autoregressive models
- Beta approximation and its applications
- Non-monotonic penalizing for the number of structural breaks
- Multithreshold change plane model: estimation theory and applications in subgroup identification
This page was built for publication: A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q746267)
