论文标题
使用集体套索技术在外汇市场中检测结构中断
Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique
论文作者
论文摘要
本文提出了一种估计方法，以检测线性时间序列模型的断点，其参数几乎没有跳跃。它的基本思想归功于小组拉索（组最少绝对收缩和选择运算符）。该方法实际上提供了模型的这种时间变化参数的估计。一个示例表明，我们的方法可以检测每个结构断点的日期和大小。
This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method practically provides estimates of such time-varying parameters of the models. An example shows that our method can detect each structural breakpoint's date and magnitude.
