Change-point analysis in increasing dimension

DOI10.1016/J.JMVA.2012.05.007zbMATH Open1253.60028OpenAlexW2062119440MaRDI QIDQ444964FDOQ444964

Authors: Moritz Jirak

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.05.007

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zbMATH Keywords

increasing dimension change-point analysis Brownian bridge strong invariance principle weakly dependent processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Cites Work

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Cited In (7)

Inference for change points in high-dimensional data via selfnormalization
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Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
Title not available (Why is that?)
Sequential Gaussian approximation for nonstationary time series in high dimensions
High dimensional change point inference: recent developments and extensions
Uniform change point tests in high dimension

Uses Software

FinTS

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