High-dimensional change-point estimation: combining filtering with convex optimization
From MaRDI portal
Publication:2397167
DOI10.1016/j.acha.2015.11.003zbMath1366.62182arXiv1412.3731OpenAlexW2206504153MaRDI QIDQ2397167
Yong Sheng Soh, Venkat Chandrasekaran
Publication date: 29 May 2017
Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.3731
change-point estimationhigh-dimensional time seriesconvex geometryatomic norm thresholdingfiltered derivativehigh-dimensional signals
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Convex programming (90C25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
Related Items
Sequential change point detection in high dimensional time series, On change-point estimation under Sobolev sparsity, False discovery rate approach to dynamic change detection, High Dimensional Change Point Estimation via Sparse Projection, A Kernel Multiple Change-point Algorithm via Model Selection, Change-point detection in panel data via double CUSUM statistic, Online multivariate changepoint detection with type I error control and constant time/memory updates per series
Uses Software
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