Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models.
Abolfazl SafikhaniYue BaiGeorge MichailidisPublished in: J. Comput. Graph. Stat. (2022)
Keyphrases
- detection algorithm
- high accuracy
- single pass
- optimal solution
- preprocessing
- dynamic programming
- probabilistic model
- detection method
- optimization algorithm
- segmentation algorithm
- np hard
- experimental evaluation
- computational cost
- learning algorithm
- k means
- computational complexity
- simulated annealing
- linear programming
- expectation maximization
- em algorithm
- parameter estimation
- improved algorithm
- monte carlo simulation
- object detection
- computationally efficient
- objective function
- similarity measure
- image segmentation
- neural network
- memory efficient