Sequential change point detection in high dimensional time series

DOI10.1214/22-EJS2027zbMath1493.62524arXiv2006.00636OpenAlexW3030111025MaRDI QIDQ2154962

Christina Stoehr, Josua Gösmann, Johannes Heiny, Dette, Holger

Publication date: 15 July 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.00636

zbMATH Keywords

bootstrapextreme value theoryGaussian approximationchange point analysissequential monitoringhigh dimensional time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (1)

Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function

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