Group orthogonal greedy algorithm for change-point estimation of multivariate time series
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Publication:830674
DOI10.1016/j.jspi.2020.08.002zbMath1460.62152OpenAlexW3093788509MaRDI QIDQ830674
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
Uses Software
Cites Work
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- Weak greedy algorithms
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- Sure Independence Screening for Ultrahigh Dimensional Feature Space
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- Group LASSO for Structural Break Time Series
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Detection of Changes in Multivariate Time Series With Application to EEG Data
- Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
- Structural Break Estimation for Nonstationary Time Series Models
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