factorcpt

swMATH18260MaRDI QIDQ30103FDOQ30103

Author name not available (Why is that?)

Source code repository: https://github.com/cran/factorcpt

Described by source

• Simultaneous multiple change-point and factor analysis for high-dimensional time series

Cited In (15)

• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• A robust bootstrap change point test for high-dimensional location parameter
• Change point detection for nonparametric regression under strongly mixing process
• A semiparametric latent factor model for large scale temporal data with heteroscedasticity
• Monitoring for a change point in a sequence of distributions
• Nonparametric estimation of large covariance matrices with conditional sparsity
• Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models
• Consistent estimation of high-dimensional factor models when the factor number is over-estimated
• Optimal covariance change point localization in high dimensions
• Sequential testing for structural stability in approximate factor models
• Testing for time-varying factor loadings in high-dimensional factor models
• Group fused Lasso for large factor models with multiple structural breaks
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Nonparametric Anomaly Detection on Time Series of Graphs
• Time-varying general dynamic factor models and the measurement of financial connectedness

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