High Dimensional Change Point Estimation via Sparse Projection
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Publication:4603814
DOI10.1111/rssb.12243zbMath1439.62199arXiv1606.06246MaRDI QIDQ4603814
Richard J. Samworth, Tengyao Wang
Publication date: 19 February 2018
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.06246
convex optimization; dimension reduction; segmentation; sparsity; change point estimation; piecewise stationary
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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