Shrinkage Estimation of Regression Models with Multiple Structural Changes
In this paper we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso (least absolute shrinkage and selection operator). We show that with probability tending to one our method can correctly determine the unknown number of br...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1595 https://ink.library.smu.edu.sg/context/soe_research/article/2594/viewcontent/06_2014.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |