Detecting Change Points of Covariance Matrices in High Dimensions

23 September 2024

Papers citing "Detecting Change Points of Covariance Matrices in High Dimensions"

10 / 10 papers shown

Title
Detecting Spectral Breaks in Spiked Covariance Models Nina Dórnemann Debashis Paul 59 1 0 30 Apr 2024
Likelihood ratio tests under model misspecification in high dimensions Nina Dórnemann 47 10 0 10 Mar 2022
Asymptotic Distributions for Likelihood Ratio Tests for the Equality of Covariance Matrices Wen-jie Guo Y. Qi 58 4 0 05 Oct 2021
Minimax rates in sparse, high-dimensional changepoint detection Haoyang Liu Chao Gao R. Samworth 68 48 0 23 Jul 2019
Estimating a change point in a sequence of very high-dimensional covariance matrices Holger Dette G. Pan Qing Yang 53 33 0 27 Jul 2018
A likelihood ratio approach to sequential change point detection for a general class of parameters Holger Dette Josua Gösmann 74 35 0 21 Feb 2018
Testing for Independence of Large Dimensional Vectors Taras Bodnar Holger Dette Nestor Parolya 51 36 0 13 Aug 2017
On the Marčenko-Pastur law for linear time series Haoyang Liu Alexander Aue D. Paul 75 68 0 27 Oct 2013
Central Limit Theorems for Classical Likelihood Ratio Tests for High-Dimensional Normal Distributions Tiefeng Jiang Fan Yang 123 134 0 02 Jun 2013
Break detection in the covariance structure of multivariate time series models Alexander Aue Siegfried Hormann Lajos Horváth M. Reimherr 229 365 0 19 Nov 2009