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检索条件"主题词=Moving sum algorithm"
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Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
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STATISTICAL PAPERS 2024年 第4期65卷 2327-2359页
作者: Duker, Marie-Christine Jeong, Seok-Oh Lee, Taewook Baek, Changryong Cornell Univ Dept Stat & Data Sci Ithaca NY 14850 USA Hankuk Univ Foreign Studies Dept Stat 81 Oedae Ro Yongin 449791 Kyunggi Do South Korea Sungkyunkwan Univ Dept Stat 25-2 Sungkyunkwan Ro Seoul 03063 South Korea
We consider the detection of multiple change-points in a high-dimensional time series exhibiting both cross-sectional and temporal dependence. Several test statistics based on the celebrated CUsum statistic are used a... 详细信息
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