Multiple Change Points Detection in Low Rank and Sparse High Dimensional Vector Autoregressive Models

DOI10.1109/TSP.2020.2993145OpenAlexW3025537884MaRDI QIDQ5102845

Abolfazl Safikhani, Peiliang Bai, George Michailidis

Publication date: 23 September 2022

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2020.2993145

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (4)

Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models ⋮ Collective Anomaly Detection in High-Dimensional Var Models ⋮ A Unified Framework for Change Point Detection in High-Dimensional Linear Models ⋮ Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models

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