2 citations · 2 across the 3 of their papers we have counts for
3 papers
math.ST2019
Quantile LASSO with changepoints in panel data models applied to option pricing
Matúš Maciak
Panel data are modern statistical tools which are commonly used in all kinds of econometric problems under various regularity assumptions. The panel data models with changepoints a…
math.ST2019
Change-point Detection by the Quantile LASSO Method
Gabriela Ciuperca, Matúš Maciak
A simultaneous change-point detection and estimation in a piece-wise constant model is a common task in modern statistics. If, in addition, the whole estimation can be performed au…
math.ST2019★ 2 cited
Change-point detection in a linear model by adaptive fused quantile method
Gabriela Ciuperca, Matus Maciak
A novel approach to quantile estimation in multivariate linear regression models with change-points is proposed: the change-point detection and the model estimation are both perfor…