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Author: Avanesov, Valeriy × End date: 2019 × Type: Text × WGL Institute: WIAS ×

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    Change-point detection in high-dimensional covariance structure
    (Ithaca, NY : Cornell University Library, 2018) Avanesov, Valeriy; Buzun, Nazar
    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.
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    Consistency results and confidence intervals for adaptive l1-penalized estimators of the high-dimensional sparse precision matrix
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Avanesov, Valeriy; Polzehl, Jörg; Tabelow, Karsten
    In this paper we consider the adaptive '1-penalized estimators for the precision matrix in a finite-sample setting. We show consistency results and construct confidence intervals for the elements of the true precision matrix. Additionally, we analyze the bias of these confidence intervals. We apply the estimator to the estimation of functional connectivity networks in functional Magnetic Resonance data and elaborate the theoretical results in extensive simulation experiments.