Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models

DOI10.1080/10618600.2021.1950005OpenAlexW3177970040MaRDI QIDQ5083365

George Michailidis, Yue Bai, Abolfazl Safikhani

Publication date: 22 June 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10618600.2021.1950005

zbMATH Keywords

structural breakshigh-dimensional time seriesfused Lassopiecewise stationarityblock segmentation

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• wbs
• factorcpt
• breakfast
• basta

Cites Work

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