Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process

DOI10.1080/10485252.2012.709246zbMATH Open1254.62093OpenAlexW2089403898MaRDI QIDQ3145403FDOQ3145403

Vincent Guigues

Publication date: 20 December 2012

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2012.709246

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zbMATH Keywords

time seriescovariance matrix estimationmultivariate dataadaptive algorithm

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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• Mean and covariance matrix adaptive estimation for a weakly stationary process. Application in stochastic optimization
• Title not available (Why is that?)

Cited In (4)

• Discontinuity detection in multivariate space for stochastic simulations
• Break point detection for functional covariance
• Change detection via affine and quadratic detectors
• Break detection in the covariance structure of multivariate time series models

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