Detection of Multiple Structural Breaks in Large Covariance Matrices
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Publication:6190696
DOI10.1080/07350015.2022.2076686OpenAlexW4280548654WikidataQ114100314 ScholiaQ114100314MaRDI QIDQ6190696
Piotr Fryzlewicz, Yu-Ning Li, Degui Li
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07350015.2022.2076686
principal component analysisCUSUMstructural breakslarge covariance matrixbinary segmentationapproximate factor models
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