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

DOI10.1007/S42952-022-00183-3MaRDI QIDQ2111963zbMATH OpenOpenAlexFDO

Authors Xianru Wang, Bin Liu, Xinsheng Zhang

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

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
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Cited in

(1)

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

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