Consistent multiple changepoint estimation with fused Gaussian graphical models

DOI10.1007/s10463-020-00749-0zbMath1469.62338arXiv1712.05786OpenAlexW3012131212MaRDI QIDQ2042434

Yanyan Li

Publication date: 20 July 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.05786

zbMATH Keywords

changepointasymptoticsregularisationgraphical model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Probabilistic graphical models (62H22)

Related Items (3)

Change-Point Detection for Graphical Models in the Presence of Missing Values ⋮ Univariate mean change point detection: penalization, CUSUM and optimality ⋮ A Unified Framework for Change Point Detection in High-Dimensional Linear Models

Uses Software

• wbs

Cites Work

• Unnamed Item
• Unnamed Item
• Wild binary segmentation for multiple change-point detection
• A note on the Lasso for Gaussian graphical model selection
• Lasso-type recovery of sparse representations for high-dimensional data
• Minimax estimation of sharp change points
• Estimating networks with jumps
• Sparse permutation invariant covariance estimation
• High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
• High-dimensional graphs and variable selection with the Lasso
• A Constrainedℓ₁Minimization Approach to Sparse Precision Matrix Estimation
• Optimal Detection of Changepoints With a Linear Computational Cost
• Sharp Thresholds for High-Dimensional and Noisy Sparsity Recovery Using $\ell _{1}$-Constrained Quadratic Programming (Lasso)
• Multiple Change-Point Estimation With a Total Variation Penalty
• Change Point Estimation in High Dimensional Markov Random-Field Models
• Inference about the change-point in a sequence of random variables
• The Lasso for High Dimensional Regression with a Possible Change Point
• A unified framework for high-dimensional analysis of \(M\)-estimators with decomposable regularizers

This page was built for publication: Consistent multiple changepoint estimation with fused Gaussian graphical models