| Group LASSO for Change-points in Functional Time Series |
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| 作者姓名： | Chang Xiong CHI Rong Mao ZHANG |
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| 作者单位： | School of Mathematical Sciences, Zhejiang University |
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| 基金项目： | Supported by NSFC (Grant No. 12171427/U21A20426/11771390)；;Zhejiang Provincial Natural Science Foundation (Grant No. LZ21A010002)；;the Fundamental Research Funds for the Central Universities (Grant No.2021XZZX002)； |
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| 摘 要： | Multiple change-points estimation for functional time series is studied in this paper. The change-point problem is first transformed into a high-dimensional sparse estimation problem via basis functions. Group least absolute shrinkage and selection operator(LASSO) is then applied to estimate the number and the locations of possible change points. However, the group LASSO(GLASSO)always overestimate the true points. To circumvent this problem, a further Information Criterion(IC) is applied to elim...
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