Computationally efficient and data-adaptive changepoint inference in high dimension

DOI10.1093/JRSSSB/QKAD048MaRDI QIDQ6606065zbMATH OpenFDO

Authors Guanghui Wang, Long Feng

Publication date 16 September 2024

Published in Journal of the Royal Statistical Society. Series B. Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/JRSSSB/QKAD048

zbMATH Keywords

adaptive testingchangepoint detectionextreme value distributionGaussian approximationhigh dimension

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(10)

• Self-normalized Cramér type moderate deviation theorem for Gaussian approximation
• High-dimensional data analysis: change point detection via bootstrap MOSUM
• An adaptive approach for testing high-dimensional location parameters with structured correlations
• Dimension-agnostic change point detection
• Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
• Adaptive sphericity tests for high dimensional data
• Testing independence between high-dimensional random vectors using rank-based max-sum tests
• Adaptive strategy of testing alphas in high dimensional linear factor pricing models
• ART: distribution-free and model-agnostic changepoint detection with finite-sample guarantees
• Integral probability metric-guided CUSUM-Net for nonparametric changepoint detection

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