• Corpus ID: 88517758

Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks

@article{Otto2018EstimationOT,
  title={Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks},
  author={Philipp Otto and Rick Steinert},
  journal={arXiv: Computation},
  year={2018}
}
In this paper, we propose a two-step lasso estimation approach to estimate the full spatial weights matrix of spatiotemporal autoregressive models. In addition, we allow for an unknown number of structural breaks in the local means of each spatial locations. The proposed approach jointly estimates the spatial dependence, all structural breaks, and the local mean levels. In addition, it is easy to compute the suggested estimators, because of a convex objective function resulting from a slight… 

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