Detecting Changes in Covariance via Random Matrix Theory
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Cites work
- A Cluster Analysis Method for Grouping Means in the Analysis of Variance
- A GENERALIZATION OF FISHER'S z TEST
- A generalized multivariate analysis of variance model useful especially for growth curve problems
- A nonparametric approach for multiple change point analysis of multivariate data
- An introduction to random matrices
- Break detection in the covariance structure of multivariate time series models
- Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
- Certain generalizations in the analysis of variance.
- Change-point detection in high-dimensional covariance structure
- Change-point detection in panel data
- Circular binary segmentation for the analysis of array-based DNA copy number data
- Corrections to LRT on large-dimensional covariance matrix by RMT
- Covariance changes detection in multivariate time series
- Detection of multiple change-points in multivariate time series
- Dynamic shrinkage processes
- High dimensional change point estimation via sparse projection
- High-dimensional change-point detection under sparse alternatives
- High-dimensional changepoint detection via a geometrically inspired mapping
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
- Limiting behavior of the eigenvalues of a multivariate F matrix
- Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
- Multiscale change point inference. With discussion and authors' reply
- On optimal multiple changepoint algorithms for large data
- On the application of new tests for structural changes on global minimum-variance portfolios
- Optimal detection of changepoints with a linear computational cost
- Random Matrices in Physics
- Statistical inference of covariance change points in gaussian model
- Testing and Locating Variance Changepoints with Application to Stock Prices
- The Limiting Eigenvalue Distribution of a Multivariate F Matrix
- Uniform change point tests in high dimension
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Using penalized contrasts for the change-point problem
- Wild binary segmentation for multiple change-point detection
Cited in
(7)- Adaptive parametric change point inference under covariance structure changes
- Detection of spatiotemporal changepoints: a generalised additive model approach
- Detecting spectral breaks in spiked covariance models
- High-dimensional change point detection with missing values
- Optimal stochastic event-triggered attack on remote state estimation
- Tensor time series change-point detection in cryptocurrency network data
- decp
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