Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
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Abstract: This paper considers the problem of estimating a change point in the covariance matrix in a sequence of high-dimensional vectors, where the dimension is substantially larger than the sample size. A two-stage approach is proposed to efficiently estimate the location of the change point. The first step consists of a reduction of the dimension to identify elements of the covariance matrices corresponding to significant changes. In a second step we use the components after dimension reduction to determine the position of the change point. Theoretical properties are developed for both steps and numerical studies are conducted to support the new methodology.
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Cited in
(23)- Change-point detection in high-dimensional covariance structure
- High dimensional change point inference: recent developments and extensions
- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- Change-Point Detection for Graphical Models in the Presence of Missing Values
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- Optimal covariance change point localization in high dimensions
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