On high-dimensional change point problem

DOI10.1007/S11425-016-0058-5MaRDI QIDQ525890zbMATH OpenOpenAlexFDO

Authors Wang Zhou, Baisuo Jin, Guangming Pan, Qing Yang

Publication date 5 May 2017

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-016-0058-5

zbMATH Keywords

change pointHotelling's \(T^{2}\) statistichigh-dimensional statistics inference

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Outlier detection for high-dimensional data
• Regularized estimation of large covariance matrices
• Testing for changes in the covariance structure of linear processes
• The maximum likelihood method for testing changes in the parameters of normal observations
• Two-sample behrens-fisher problem for high-dimensional data
• Uniform change point tests in high dimension
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(13)

• On asymptotic approximation of ratio models for weakly dependent sequences
• High dimensional change point estimation via sparse projection
• Robust inference for change points in high dimension
• High-dimensional change-point detection under sparse alternatives
• Change-point analysis in increasing dimension
• High dimensional efficiency with applications to change point tests
• An efficient two step algorithm for high dimensional change point regression models without grid search
• Detecting change-points in multidimensional stochastic processes
• On change-point estimation under Sobolev sparsity
• A test of the rigid structure of grouped points in high-dimensional data
• Multiple change-points detection in high dimension
• Uniform change point tests in high dimension
• The CUSUM statistics of change-point models based on dependent sequences

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