Showing math.STShow all
2 papers · 1 filter
math.ST2024
Change Point Detection in Precision Matrices with D-trace Loss
Ying Lin, Benjamin Poignard, Ting Kei Pong +1
We consider the problem of estimating a time-varying sparse precision matrix, which is assumed to evolve in a piecewise constant manner. Building upon the Group Fused LASSO and LAS…
math.ST2018
Sparse Multivariate ARCH Models: Finite Sample Properties
Benjamin Poignard
We provide finite sample properties of sparse multivariate ARCH processes, where the linear representation of ARCH models allows for an ordinary least squares estimation. Under the…