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

DOI10.1016/J.JSPI.2020.08.002zbMATH Open1460.62152OpenAlexW3093788509MaRDI QIDQ830674FDOQ830674

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

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zbMATH Keywords

high-dimensional regressioninformation criterionvector autoregressive models

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (6)

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

Uses Software

• wbs

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