Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
نویسندگان
چکیده
منابع مشابه
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This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved. First, we show that our proposed chromosome rep...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2020
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2020.1770097