Detection of Changes in the Czech Consumer Price Index by Sparse Parameter Estimation
| Authors | |
|---|---|
| Year of publication | 2010 |
| Type | Article in Periodical |
| Magazine / Source | Forum Statisticum Slovacum |
| MU Faculty or unit | |
| Citation | |
| Web | http://www.ssds.sk/casopis/archiv/2010/fss0510.pdf |
| Field | Applied statistics, operation research |
| Keywords | multiple change point detection; overparametrized model; sparse parameter estimation; basis pursuit algorithm; consumer price index |
| Description | The contribution is focused on application of multiple change point detection in a one-dimensional stochastic process by sparse parameter estimation from an overparametrized model. A stochastic process with changes in the mean is estimated using dictionary consisting of Heaviside functions. The basis pursuit algorithm is used to get sparse parameter estimates. The mentioned method is applied to the time series of the Czech consumer price index. |
| Related projects: |