most citedChange-Point Detection in Time Series Using Mixed Integer Programming

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econ.EM2024★ 2 cited

Change-Point Detection in Time Series Using Mixed Integer Programming

Artem Prokhorov, Peter Radchenko, Alexander Semenov +1

We use cutting-edge mixed integer optimization (MIO) methods to develop a framework for detection and estimation of structural breaks in time series regression models. The framewor…