A novel and fast methodology for simultaneous multiple structural break estimation and variable selection for nonstationary time series models.
Baisuo JinXiaoping ShiYuehua WuPublished in: Stat. Comput. (2013)
Keyphrases
- non stationary
- variable selection
- autoregressive
- random fields
- linear models
- model selection
- parameter estimation
- box jenkins
- input variables
- cross validation
- fractional brownian motion
- high dimensional
- logistic regression models
- probabilistic model
- gaussian markov random fields
- data sets
- financial time series
- gaussian processes
- prediction model
- pairwise
- data mining