Group fused Lasso for large factor models with multiple structural breaks
大型因子模型多重结构突变的组融合 LASSO 方法AI 解读 ↓
本页整理公开书目信息,不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成,未完成全文核验,可能有误;具体假设、证明与结论请核对原文。摘要保留来源文本,未经模型改写。
DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要;缺少可靠材料时保留待补状态。
引用量采用 OpenAlex 单条关联记录,不合计多个记录;关联记录可能包含正式发表版本,不等于此版本单独引用。缺失不视为零,引用指标不代表论文质量。
关注作者按书目中的完整姓名匹配,同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列,再参考通用方法与发表日期。
AI 根据所提供的论文材料归类:摘要的核心对象是大型因子模型的载荷及多个结构突变日期,直接对应因子模型与结构变化两个方向。
大型因子模型多重结构突变的组融合 LASSO 方法AI 解读 ↓
正在核对关联版本…
正在核对对应版本的资源…
This paper reformulates the identification of multiple structural breaks in factor loadings as a problem of detecting structural breaks in a factor regression, where the estimated pseudo factor corresponding to the largest eigenvalue is regressed on the remaining estimated factors. As a result, a group fused Lasso based estimation procedure is proposed to identify the break dates. Our procedure is practically easy-to-implement with standard statistical packages, overcoming the drawbacks of the existing methods that they often involve multiple tuning parameters and are computationally demanding in dealing with multiple unknown breaks. Theoretical properties of the proposed estimators are established, with a data driven choice of tuning parameter in the procedure. The Monte Carlo simulations and a real data application demonstrate that our procedure is fast implementable with desirable accuracy performance, and thus enjoys practical merits.