Dimension-agnostic change point detection

DOI10.1016/J.JECONOM.2025.106012MaRDI QIDQ6962722zbMATH OpenFDO

Authors Hanjia Gao, Runmin Wang, Xiaofeng Shao

Publication date 8 July 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106012

zbMATH Keywords

cross-sectional dependencepanel datasample splittingself-normalizationtime series

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(3)

• Model-free change-point detection using AUC of a classifier
• Identification of distributional heterogeneity under maximum adjacent separation subspace
• A new approach to statistical inference for functional time series

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