Collective Anomaly Detection in High-Dimensional Var Models

DOI10.5705/ss.202021.0181arXiv2105.07538OpenAlexW3161282858MaRDI QIDQ6069887

Hyeyoung Maeng, Paul Fearnhead, Idris A. Eckley

Publication date: 17 November 2023

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.07538

zbMATH Keywords

Lassohigh-dimensional time seriesepidemic changevector autoregressive modelcollective anomalysparse changes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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