Change-point detection in high-dimensional covariance structure
dc.bibliographicCitation.firstPage | 3254 | eng |
dc.bibliographicCitation.issue | 2 | eng |
dc.bibliographicCitation.journalTitle | Electronic journal of statistics : EJS | eng |
dc.bibliographicCitation.lastPage | 3294 | eng |
dc.bibliographicCitation.volume | 12 | eng |
dc.contributor.author | Avanesov, Valeriy | |
dc.contributor.author | Buzun, Nazar | |
dc.date.accessioned | 2022-06-21T12:15:29Z | |
dc.date.available | 2022-06-21T12:15:29Z | |
dc.date.issued | 2018 | |
dc.description.abstract | In this paper we introduce a novel approach for an important problem of break detection. Specifically, we are interested in detection of an abrupt change in the covariance structure of a high-dimensional random process – a problem, which has applications in many areas e.g., neuroimaging and finance. The developed approach is essentially a testing procedure involving a choice of a critical level. To that end a non-standard bootstrap scheme is proposed and theoretically justified under mild assumptions. Theoretical study features a result providing guaranties for break detection. All the theoretical results are established in a high-dimensional setting (dimensionality p≫n). Multiscale nature of the approach allows for a trade-off between sensitivity of break detection and localization. The approach can be naturally employed in an on-line setting. Simulation study demonstrates that the approach matches the nominal level of false alarm probability and exhibits high power, outperforming a recent approach. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9101 | |
dc.identifier.uri | https://doi.org/10.34657/8139 | |
dc.language.iso | eng | eng |
dc.publisher | Ithaca, NY : Cornell University Library | eng |
dc.relation.doi | https://doi.org/10.1214/18-EJS1484 | |
dc.relation.essn | 1935-7524 | |
dc.rights.license | CC BY 4.0 Unported | eng |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | eng |
dc.subject.ddc | 310 | eng |
dc.subject.other | Bootstrap | eng |
dc.subject.other | Critical value | eng |
dc.subject.other | Multiscale | eng |
dc.subject.other | Precision matrix | eng |
dc.subject.other | Structural change | eng |
dc.title | Change-point detection in high-dimensional covariance structure | eng |
dc.type | Article | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Zeitschriftenartikel | eng |
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