44 citations · 67 across the 5 of their papers we have counts for
5 papers
Estimation of multiple change points under a generalised Ornstein-Uhlenbeck framework
Fuqi Chen, Rogemar Mamon, Matt Davison
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 me…
Determination of a structural break in a mean-reverting process
Fuqi Chen, Rogemar Mamon, Severien Nkurunziza
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 equival…
Optimal method in multiple regression with structural changes
Fuqi Chen, Sévérien Nkurunziza
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,…
Statistical Inference, Learning and Models in Big Data
Beate Franke, Jean-François Plante, Ribana Roscher +11
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 essenti…
A short note on model selection by LASSO methods in a change-point model
Fuqi Chen, Sévérien Nkurunziza
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 multip…