Testing and estimating change-points in the covariance matrix of a high-dimensional time series

Published 2020 View Full Article

Authors

Keywords

Change-point, CUSUM transform, Data science, High-dimensional statistics, Projection, Spatial statistics, Spiked covariance, Strong approximation, VARMA processes

Journal

JOURNAL OF MULTIVARIATE ANALYSIS

Volume 177, Issue -, Pages 104582

Publisher

Elsevier BV

Online

2020-01-18

DOI

10.1016/j.jmva.2019.104582

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