Develops SICS and RCRS screening methods for consistent selection of sparse active predictors and change points in high-dimensional structural break predictive regressions that may involve stationary or cointegrated series.
Variable Selection in High-Dimensional Linear Models: Partially Faithful Distributions and the Pc-Simple Algorithm , shorttitle =
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Feature Screening for High-Dimensional Structural Break Predictive Regression
Develops SICS and RCRS screening methods for consistent selection of sparse active predictors and change points in high-dimensional structural break predictive regressions that may involve stationary or cointegrated series.