Estimation of Dynamic Networks for High-Dimensional Nonstationary Time Series
This paper is concerned with the estimation of time-varying networks for high-dimensional nonstationary time series. Two types of dynamic behaviors are considered: structural breaks (i.e., abrupt change points) and smooth changes. To simultaneously handle these two types of time-varying features, a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/1/55 |