Multiple-change-point detection for high dimensional time series via sparsified binary segmentation

Journal of the Royal Statistical Society. Series B: Statistical Methodology

Volumn 77, Issue 2, 2015, Pages 475-507

  Cho, Haeran ^a   Fryzlewicz, Piotr ^b  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Binary segmentation; Cumulative sum statistic; High dimensional time series; Locally stationary wavelet model; Multiple change point detection; Thresholding

Indexed keywords

EID: 84993730671     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/rssb.12079     Document Type: Article

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