Robust quickest correlation change detection in high-dimensional random vectors

DOI10.1080/07474946.2025.2485172MaRDI QIDQ6939430zbMATH OpenFDO

Authors Taposh Banerjee, Jayant Rajgopal

Publication date 21 August 2025

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2025.2485172

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites work

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• Quickest Detection
• Quickest Detection for Changes in Maximal kNN Coherence of Random Matrices
• Robust quickest change detection in nonstationary processes

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