factorcpt

MaRDI QIDQ30103swMATHFDO

Official website https://cran.r-project.org/web/packages/factorcpt/index.html

Source code repository https://github.com/cran/factorcpt

Described by source

• Simultaneous multiple change-point and factor analysis for high-dimensional time series

Cited in

(24)

• Time-varying general dynamic factor models and the measurement of financial connectedness
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• A robust bootstrap change point test for high-dimensional location parameter
• Change point detection for nonparametric regression under strongly mixing process
• A semiparametric latent factor model for large scale temporal data with heteroscedasticity
• Monitoring for a change point in a sequence of distributions
• SLEX
• wbs
• GraphScope
• FreSpeD
• ManifoldOptim
• basta
• BayesProject
• fnets
• BatchGetSymbols
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
• Optimal covariance change point localization in high dimensions
• Consistent estimation of high-dimensional factor models when the factor number is over-estimated
• Sequential testing for structural stability in approximate factor models
• Group fused Lasso for large factor models with multiple structural breaks
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Testing for time-varying factor loadings in high-dimensional factor models
• Nonparametric Anomaly Detection on Time Series of Graphs

This page was built for software: factorcpt