A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models

DOI10.1007/S42952-022-00183-3OpenAlexW4292509024MaRDI QIDQ2111963FDOQ2111963

Xinsheng Zhang, Bin Liu, Xianru Wang

Publication date: 17 January 2023

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-022-00183-3

zbMATH Keywords

change point detectionhigh dimensionscovariance matricesefficient algorithmmean vector

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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Cited In (1)

• Testing and estimating change-points in the covariance matrix of a high-dimensional time series

Uses Software

• wbs

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