Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
高维非平稳 VAR 模型的结构断点检测与参数联合估计
Assuming stationarity is unrealistic in many time series applications. A more realistic alternative is to assume piecewise stationarity, where the model can change at potentially many change points. We propose a three-stage procedure for simultaneous estimation of change points and parameters of high-dimensional piecewise vector autoregressive (VAR) models. In the first step, we reformulate the change point detection problem as a high-dimensional variable selection one, and…