Change-point analysis in increasing dimension

DOI10.1016/J.JMVA.2012.05.007zbMath1253.60028OpenAlexW2062119440MaRDI QIDQ444964

Moritz Jirak

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.05.007

zbMATH Keywords

Brownian bridgechange-point analysisstrong invariance principleincreasing dimensionweakly dependent processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items (5)

Inference for change points in high-dimensional data via selfnormalization ⋮ Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage ⋮ Uniform change point tests in high dimension ⋮ Sequential Gaussian approximation for nonstationary time series in high dimensions ⋮ High dimensional change point inference: recent developments and extensions

Uses Software

• FinTS

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