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

DOI10.1007/S11222-011-9304-6MaRDI QIDQ746267zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

MCPSCADvariable selectionBICtime seriesmultiple structural breaks

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1485432 (Why is no real title available?)
• Estimation of the arrival times of seismic waves by multivariate time series model
• Nearly unbiased variable selection under minimax concave penalty
• Structural Break Estimation for Nonstationary Time Series Models
• Testing for a change in the parameter values and order of an autoregressive model
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(18)

• Multithreshold change plane model: estimation theory and applications in subgroup identification
• 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

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