Group orthogonal greedy algorithm for change-point estimation of multivariate time series

DOI10.1016/J.JSPI.2020.08.002MaRDI QIDQ830674zbMATH OpenOpenAlexFDO

Authors Yuanbo Li, Ngai Hang Chan, Chun Yip Yau, Rong-Mao Zhang

Publication date 7 May 2021

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2020.08.002

zbMATH Keywords

high-dimensional regressioninformation criterionvector autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A stepwise regression method and consistent model selection for highdimensional sparse linear models
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Boosting With theL₂Loss
• Break detection in the covariance structure of multivariate time series models
• Change points detection and parameter estimation for multivariate time series
• Change-point detection in panel data via double CUSUM statistic
• Common breaks in means and variances for panel data
• Detection of Multiple Structural Breaks in Multivariate Time Series
• Detection of changes in multivariate time series with application to EEG data
• Group Lasso for structural break time series
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Optimal detection of changepoints with a linear computational cost
• Structural Break Estimation for Nonstationary Time Series Models
• Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
• The Adaptive Lasso and Its Oracle Properties
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Uniform change point tests in high dimension
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Weak greedy algorithms
• Wild binary segmentation for multiple change-point detection

Cited in

(6)

• Change-point methods for multivariate time-series: paired vectorial observations
• Change points detection and parameter estimation for multivariate time series
• A Dirichlet process model for change-point detection with multivariate bioclimatic data
• Group Lasso for structural break time series
• Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process
• A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models

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