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Journal of Business & Economic Statistics Volume 35, 2017 - Issue 2: Regime Switching and Threshold Models
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Original Articles

Threshold Estimation via Group Orthogonal Greedy Algorithm

Ngai Hang ChanSouthwestern University of Finance and Economics and The Chinese University of Hong Kong, Shatin, NT, Hong Kong, Hong Kong ([email protected])
,
Ching-Kang IngAcademia Sinica, Institute of Statistical Sciences, National Taiwan University, Taipei, 11529, Taiwan ([email protected])
,
Yuanbo LiDepartment of Statistics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong, Hong Kong ([email protected]; [email protected])
&
Chun Yip YauDepartment of Statistics, The Chinese University of Hong Kong, Shatin, NT, Hong Kong, Hong Kong ([email protected]; [email protected])
Pages 334-345 | Received 01 Feb 2015, Published online: 13 Mar 2017

Citations (11)

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Read on this site (3)

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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Mario Giacomazzo & Yiannis Kamarianakis. (2020) Bayesian estimation of subset threshold autoregressions: short-term forecasting of traffic occupancy. Journal of Applied Statistics 47:13-15, pages 2658-2689.
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Sokbae Lee, Yuan Liao, Myung Hwan Seo & Youngki Shin. (2018) Oracle Estimation of a Change Point in High-Dimensional Quantile Regression. Journal of the American Statistical Association 113:523, pages 1184-1194.
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Articles from other publishers (8)

Muhammad Jaffri Mohd Nasir, Ramzan Nazim Khan, Gopalan Nair & Darfiana Nur. (2023) Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model. Statistical Papers.
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Li Meiqi, Jin Baisuo & Dong Cuiling. (2023) Multiple structural break estimations for linear regression with dependent observations. SCIENTIA SINICA Mathematica.
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Chih‐Hao Chang, Kam‐Fai Wong & Wei‐Yee Lim. (2022) Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime. Statistica Neerlandica 77:1, pages 4-47.
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Ching-Kang Ing, Chin-Yi Lin, Po-Hsiang Peng, Yu-Ming Hsieh & Fan-Tien Cheng. (2022) Golden Path Search Algorithm for the KSA Scheme. IEEE Transactions on Automation Science and Engineering 19:3, pages 1517-1529.
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Yaxing Yang & Dong Li. (2019) Self‐Weighted Lad‐Based Inference for Heavy‐Tailed Continuous Threshold Autoregressive Models. Journal of Time Series Analysis 41:1, pages 163-172.
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Peiliang Bai, Abolfazl Safikhani & George Michailidis. (2020) Multiple Change Points Detection in Low Rank and Sparse High Dimensional Vector Autoregressive Models. IEEE Transactions on Signal Processing 68, pages 3074-3089.
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William W.S. Wei. 2019. Multivariate Time Series Analysis and Applications. Multivariate Time Series Analysis and Applications 11 104 .
Yuanbo Li, Xunze Zheng & Chun Yip Yau. (2019) Generalized threshold latent variable model. Electronic Journal of Statistics 13:1.
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