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Estimation of multiple change points under a generalised Ornstein-Uhlenbeck framework

Autor: Chen, Fuqi, Mamon, Rogemar, Davison, Matt

The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting mean-reverting properties. When structural changes happen, economic dyna

Externí odkaz: http://arxiv.org/abs/1610.05795

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Determination of a structural break in a mean-reverting process

Autor: Chen, Fuqi, Mamon, Rogemar, Nkurunziza, Severien

Determining accurately when regime and structural changes occur in various time-series data is critical in many social and natural sciences. We develop and show further the equivalence of two consistent estimation techniques in locating the change po

Externí odkaz: http://arxiv.org/abs/1610.03153

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Optimal method in multiple regression with structural changes

Autor: Chen, Fuqi, Nkurunziza, Sévérien

Publikováno v: Bernoulli 2015, Vol. 21, No. 4, 2217-2241

In this paper, we consider an estimation problem of the regression coefficients in multiple regression models with several unknown change-points. Under some realistic assumptions, we propose a class of estimators which includes as a special cases shr

Externí odkaz: http://arxiv.org/abs/1509.05581

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Statistical Inference, Learning and Models in Big Data

Autor: Franke, Beate, Plante, Jean-François, Roscher, Ribana, Lee, Annie, Smyth, Cathal, Hatefi, Armin, Chen, Fuqi, Gil, Einat, Schwing, Alexander, Selvitella, Alessandro, Hoffman, Michael M., Grosse, Roger, Hendricks, Dieter, Reid, Nancy

Publikováno v: Int Stat Rev 84 (2017) 371-389

The need for new methods to deal with big data is a common theme in most scientific fields, although its definition tends to vary with the context. Statistical ideas are an essential part of this, and as a partial response, a thematic program on stat

Externí odkaz: http://arxiv.org/abs/1509.02900

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A short note on model selection by LASSO methods in a change-point model

Autor: Chen, Fuqi, Nkurunziza, Sévérien

In Ciuperca (2012) (Ciuperca. Model selection by LASSO methods in a change-point model, Stat. Papers, 2012; (in press)), the author considered a linear regression model with multiple change-points occurring at unknown times. In particular, the author

Externí odkaz: http://arxiv.org/abs/1403.1830

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