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Journal of the American Statistical Association Volume 117, 2022 - Issue 537
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Theory and Methods

Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models

Abolfazl Safikhania Department of Statistics, University of Florida, Gainesville, FL; Correspondence[email protected]
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Ali Shojaieb Department of Biostatistics, University of Washington, Seattle, WAView further author information
Pages 251-264 | Received 18 Oct 2018, Accepted 11 May 2020, Published online: 07 Jul 2020

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David Ardia, Arnaud Dufays & Carlos Ordás Criado. (2023) Linking Frequentist and Bayesian Change-Point Methods. Journal of Business & Economic Statistics 0:0, pages 1-14.
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Peiliang Bai, Abolfazl Safikhani & George Michailidis. (2023) Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models. Journal of the American Statistical Association 118:544, pages 2776-2792.
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Yundong Tu & Xinling Xie. (2023) Forecasting vector autoregressions with mixed roots in the vicinity of unity. Econometric Reviews 42:7, pages 556-585.
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Haeran Cho, Hyeyoung Maeng, Idris A. Eckley & Paul Fearnhead. (2023) High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling. Journal of the American Statistical Association 0:0, pages 1-13.
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Yu-Ning Li, Degui Li & Piotr Fryzlewicz. (2023) Detection of Multiple Structural Breaks in Large Covariance Matrices. Journal of Business & Economic Statistics 41:3, pages 846-861.
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Yunyan Wang, Yanfang Wang, Wei Li & Mingtian Tang. (2022) On nonrecurrence of nonlinear random time delay autoregressive models under random environment. Communications in Statistics - Simulation and Computation 0:0, pages 1-9.
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Gaetano Romano, Guillem Rigaill, Vincent Runge & Paul Fearnhead. (2022) Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise. Journal of the American Statistical Association 117:540, pages 2147-2162.
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Abolfazl Safikhani, Yue Bai & George Michailidis. (2022) Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models. Journal of Computational and Graphical Statistics 31:1, pages 176-189.
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Articles from other publishers (13)

Jonas Krampe & Suhasini Subba Rao. (2024) Inverse covariance operators of multivariate nonstationary time series. Bernoulli 30:2.
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Haeran Cho & Piotr Fryzlewicz. (2023) Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm. Journal of Time Series Analysis 45:3, pages 479-494.
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Sumanta Basu & Suhasini Subba Rao. (2023) Graphical models for nonstationary time series. The Annals of Statistics 51:4.
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Arun Kumar, Tanya Chauhan, Srinivasan Natesan, Nhat Truong Pham, Ngoc Duy Nguyen & Chee Peng Lim. (2023) Towards an efficient machine learning model for financial time series forecasting. Soft Computing 27:16, pages 11329-11339.
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Jonathan P. Williams, Yuying Xie & Jan Hannig. (2022) The EAS approach for graphical selection consistency in vector autoregression models. Canadian Journal of Statistics 51:2, pages 674-703.
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Liyuan Cui, Guanhao Feng, Yongmiao Hong & Jiangshan Yang. (2023) Time-Varying Factor Selection: A Sparse Fused GMM Approach. SSRN Electronic Journal.
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Haeran Cho & Claudia Kirch. (2021) Two-stage data segmentation permitting multiscale change points, heavy tails and dependence. Annals of the Institute of Statistical Mathematics 74:4, pages 653-684.
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Martin Tveten, Idris A. Eckley & Paul Fearnhead. (2022) Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring. The Annals of Applied Statistics 16:2.
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Peiliang Bai, Abolfazl Safikhani & George Michailidis. (2022) A Fast Detection Method of Break Points in Effective Connectivity Networks. IEEE Transactions on Medical Imaging 41:5, pages 1017-1030.
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Ali Shojaie & Emily B. Fox. (2022) Granger Causality: A Review and Recent Advances. Annual Review of Statistics and Its Application 9:1, pages 289-319.
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Yue Bai, Abolfazl Safikhani & George Michailidis. (2022) Hybrid Modeling of Regional COVID-19 Transmission Dynamics in the U.S.. IEEE Journal of Selected Topics in Signal Processing 16:2, pages 261-275.
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Kunhui Zhang, Abolfazl Safikhani, Alex Tank & Ali Shojaie. (2022) Penalized estimation of threshold auto-regressive models with many components and thresholds. Electronic Journal of Statistics 16:1.
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Xu Wang & Ali Shojaie. (2021) Causal Discovery in High-Dimensional Point Process Networks with Hidden Nodes. Entropy 23:12, pages 1622.
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