Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices

DOI10.1080/01621459.2020.1785477zbMath1506.62364arXiv1807.10797OpenAlexW3041036243MaRDI QIDQ5881097

Guangming Pan, Qing Yang, Dette, Holger

Publication date: 9 March 2023

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.10797

zbMATH Keywords

dimension reductionchange point analysishigh-dimensional covariance matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of big data and data science (62R07)

Related Items (3)

Optimal multiple change-point detection for high-dimensional data ⋮ Change-Point Detection for Graphical Models in the Presence of Missing Values ⋮ A generalized knockoff procedure for FDR control in structural change detection

Uses Software

• wbs

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