Break detection in the covariance structure of multivariate time series
models

Break detection in the covariance structure of multivariate time series models

19 November 2009

Siegfried Hormann

Papers citing "Break detection in the covariance structure of multivariate time series models"

14 / 14 papers shown

Title
Minimax rates in variance and covariance changepoint testing Per August Jarval Moen 40 0 0 13 May 2024
A Global Wavelet Based Bootstrapped Test of Covariance Stationarity Jonathan B. Hill Tianqi Li 16 1 0 25 Oct 2022
Optimal Change-point Testing for High-dimensional Linear Models with Temporal Dependence Daren Wang Zifeng Zhao 38 6 0 08 May 2022
Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package Peiliang Bai Yue Bai Abolfazl Safikhani George Michailidis 34 1 0 23 May 2021
Minimax rates in sparse, high-dimensional changepoint detection Haoyang Liu Chao Gao R. Samworth 24 46 0 23 Jul 2019
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH( $p$ , $q$ ) processes M. Brautigam Marie Kratz 93 1 0 21 Jun 2019
Inference for Change Points in High Dimensional Data via Self-Normalization Runmin Wang Changbo Zhu S. Volgushev Xiaofeng Shao 31 34 0 21 May 2019
A robust bootstrap change point test for high-dimensional location parameter Mengjia Yu Xiaohui Chen 21 10 0 06 Apr 2019
Finite sample change point inference and identification for high-dimensional mean vectors Mengjia Yu Xiaohui Chen 27 37 0 23 Nov 2017
High-dimensional changepoint estimation via sparse projection Tengyao Wang R. Samworth AI4TS 27 229 0 20 Jun 2016
Detecting changes in Hilbert space data based on "repeated" and change-aligned principal components Leonid Torgovitski 12 10 0 24 Sep 2015
On the asymptotic normality of kernel estimators of the long run covariance of functional time series I. Berkes Lajos Horváth Gregory Rice 42 22 0 02 Mar 2015
Efficiency of change point tests in high dimensional settings J. Aston Claudia Kirch 30 15 0 05 Sep 2014
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution Dominik Wied H. Dehling M. Kampen D. Vogel 44 30 0 22 Jun 2012