High Dimensional Change Point Estimation via Sparse Projection

DOI10.1111/rssb.12243zbMath1439.62199arXiv1606.06246OpenAlexW2962736036MaRDI QIDQ4603814

Tengyao Wang, Richard J. Samworth

Publication date: 19 February 2018

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.06246

zbMATH Keywords

convex optimizationdimension reductionsegmentationsparsitychange point estimationpiecewise stationary

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Uses Software

• R
• LogConcDEAD
• wbs
• logcondens
• InspectChangepoint
• ecp

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