Uniform change point tests in high dimension

DOI10.1214/15-AOS1347zbMath1327.62467arXiv1511.05333OpenAlexW1820131496MaRDI QIDQ892243

Moritz Jirak

Publication date: 18 November 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05333

zbMATH Keywords

extreme value distributionchange point analysisspatial econometricshigh-dimensional ARMA/GARCHweakly dependent high-dimensional time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Related Items (52)

Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices ⋮ Change-point detection in high-dimensional covariance structure ⋮ Group orthogonal greedy algorithm for change-point estimation of multivariate time series ⋮ Inference for change points in high-dimensional data via selfnormalization ⋮ A robust bootstrap change point test for high-dimensional location parameter ⋮ High dimensional efficiency with applications to change point tests ⋮ Optimal multiple change-point detection for high-dimensional data ⋮ Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring ⋮ Sequential change point detection in high dimensional time series ⋮ A new hybrid approach to panel data change point detection ⋮ Simultaneous multiple change-point and factor analysis for high-dimensional time series ⋮ Adaptive Change Point Monitoring for High-Dimensional Data ⋮ On change-point estimation under Sobolev sparsity ⋮ Univariate mean change point detection: penalization, CUSUM and optimality ⋮ Efficient multiple change point detection for high‐dimensional generalized linear models ⋮ Uniform change point tests in high dimension ⋮ Collective Anomaly Detection in High-Dimensional Var Models ⋮ Data-driven selection of the number of change-points via error rate control ⋮ Adaptive Inference for Change Points in High-Dimensional Data ⋮ Inference of Breakpoints in High-dimensional Time Series ⋮ Multiple change-points detection in high dimension ⋮ Change-detection-assisted multiple testing for spatiotemporal data ⋮ Change-point testing for parallel data sets with FDR control ⋮ Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences ⋮ Change-point inference for high-dimensional heteroscedastic data ⋮ Estimation of high-dimensional change-points under a group sparsity structure ⋮ Change point detection for high dimensional data via kernel measure with application to human aging brain data ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ Efficient change point detection and estimation in high-dimensional correlation matrices ⋮ High Dimensional Change Point Estimation via Sparse Projection ⋮ A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters ⋮ Inference on the change point under a high dimensional sparse mean shift ⋮ Detecting structural breaks in realized volatility ⋮ Asymptotic distribution-free change-point detection for multivariate and non-Euclidean data ⋮ Practical aspects of false alarm control for change point detection: beyond average run length ⋮ An empirical-characteristic-function-based change-point test for detection of multiple distributional changes ⋮ Fréchet change-point detection ⋮ On high-dimensional change point problem ⋮ Optimal covariance change point localization in high dimensions ⋮ Nonparametric multiple change-point estimation for analyzing large Hi-C data matrices ⋮ Change-point detection in panel data via double CUSUM statistic ⋮ Relevant change points in high dimensional time series ⋮ Minimax rates in sparse, high-dimensional change point detection ⋮ High-dimensional changepoint detection via a geometrically inspired mapping ⋮ A novel change-point approach for the detection of gas emission sources using remotely contained concentration data ⋮ Monitoring for a change point in a sequence of distributions ⋮ High dimensional change point inference: recent developments and extensions ⋮ Sequential Nonparametric Tests for a Change in Distribution: An Application to Detecting Radiological Anomalies ⋮ Anomaly detection: a functional analysis perspective ⋮ Structural breaks in panel data: Large number of panels and short length time series ⋮ Robust inference for change points in high dimension ⋮ A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models

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