Simultaneous multiple change-point and factor analysis for high-dimensional time series
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Publication:1668579
DOI10.1016/j.jeconom.2018.05.003zbMath1398.62221arXiv1612.06928OpenAlexW2565466087MaRDI QIDQ1668579
Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz
Publication date: 29 August 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.06928
principal component analysiswavelet transformationchange-point detectiondouble CUSUM binary segmentationpiecewise stationary factor model
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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Uses Software
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