Inference on the change point under a high dimensional sparse mean shift
DOI10.1214/20-EJS1791zbMath1460.62148arXiv2007.01888OpenAlexW3120580392MaRDI QIDQ2219223
Abhishek Kaul, Abolfazl Safikhani, Stergios B. Fotopoulos, Venkata K. Jandhyala
Publication date: 19 January 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.01888
Brownian motionlimiting distributionrandom walkinferencesubexponential distributionleast square estimatorhigh dimensionchange pointsub-Gaussian distributionoptimal ratenegative driftsparsity parameter
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10) Brownian motion (60J65)
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