Change-point detection in high-dimensional covariance structure
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Publication:1616311
DOI10.1214/18-EJS1484zbMath1454.62252arXiv1610.03783OpenAlexW2530826758WikidataQ129132698 ScholiaQ129132698MaRDI QIDQ1616311
Publication date: 1 November 2018
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.03783
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)
Related Items (18)
Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices ⋮ Inference for change points in high-dimensional data via selfnormalization ⋮ Change-Point Detection for Graphical Models in the Presence of Missing Values ⋮ Sequential change point detection in high dimensional time series ⋮ Univariate mean change point detection: penalization, CUSUM and optimality ⋮ Gaussian approximation for penalized Wasserstein barycenters ⋮ Adaptive resources allocation CUSUM for binomial count data monitoring with application to COVID-19 hotspot detection ⋮ Break point detection for functional covariance ⋮ Bayesian Change Point Detection with Spike-and-Slab Priors ⋮ A generalized knockoff procedure for FDR control in structural change detection ⋮ Efficient change point detection and estimation in high-dimensional correlation matrices ⋮ Optimal nonparametric change point analysis ⋮ Optimal covariance change point localization in high dimensions ⋮ Sequential subspace change point detection ⋮ Testing and estimating change-points in the covariance matrix of a high-dimensional time series ⋮ High dimensional change point inference: recent developments and extensions ⋮ Measuring timeliness of annual reports filing by jump additive models ⋮ A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
Uses Software
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