Kernel methods for changes detection in covariance matrices

DOI10.1080/03610918.2017.1322701MaRDI QIDQ5084948zbMATH OpenOpenAlexFDO

Authors Edgard M. Maboudou-Tchao

Publication date 29 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2017.1322701

zbMATH Keywords

one-class classificationMercer kernelmatrix variatessupport matricesmatrix outlier detectionpower-Euclidean kernel

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Cites work

• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A kernel-distance-based multivariate control chart using support vector methods
• Estimating the support of a high-dimensional distribution
• Kernel distance-based robust support vector methods and its application in developing a robust K-chart
• Monitoring the covariance matrix with fewer observations than variables
• Simultaneous monitoring of process mean vector and covariance matrix via penalized likelihood estimation
• Sparse inverse covariance estimation with the graphical lasso

Cited in

(4)

• Monitoring the covariance matrix of bivariate processes with the DVMAX control charts
• Least-squares support tensor data description
• High-dimensional data monitoring using support machines
• Scan B-statistic for kernel change-point detection

Describes a project that uses

Uses Software

• glasso

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