A factor model approach for the joint segmentation with between-series correlation

DOI10.48550/ARXIV.1505.05660zbMath1441.62135arXiv1505.05660OpenAlexW2904173169WikidataQ128726275 ScholiaQ128726275MaRDI QIDQ151476

Emilie Lebarbier, Stéphane Robin, Xavier Collilieux, Xavier Collilieux, Stephane Robin, Emilie Lebarbier

Publication date: 21 May 2015

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05660

zbMATH Keywords

dynamic programmingsegmentationmultivariate time seriesfactor model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Dynamic programming (90C39)

Related Items (3)

A Kernel Multiple Change-point Algorithm via Model Selection ⋮ A new paradigm for high-dimensional data: distance-based semiparametric feature aggregation framework via between-subject attributes ⋮ FASeg

Uses Software

• R
• CRAN

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