Efficient change point detection and estimation in high-dimensional correlation matrices

DOI10.1214/24-EJS2221MaRDI QIDQ6200899zbMATH OpenOpenAlexFDO

Authors

Publication date 25 March 2024

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2311.02312, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-18/issue-1/Efficient-change-point-detection-and-estimation-in-high-dimensional-correlation/10.1214/24-EJS2221.full

zbMATH Keywords

change point detectionchange point estimationcorrelation matrixCUSUMsignflip parallel analysis

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

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• Change-point detection in high-dimensional covariance structure
• CONTINUOUS INSPECTION SCHEMES
• Detecting relevant changes in time series models
• Factor-Adjusted Regularized Model Selection
• High dimensional change point estimation via sparse projection
• High-dimensional probability. An introduction with applications in data science
• scientific article; zbMATH DE number 1753143 (Why is no real title available?)
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Optimal covariance change point localization in high dimensions
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• Uniform change point tests in high dimension

Cited in

(1)

• Distance-based CUSUM statistics for high dimensional change points

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