Efficient change point detection and estimation in high-dimensional correlation matrices

DOI10.1214/24-ejs2221arXiv2311.02312OpenAlexW4392308164MaRDI QIDQ6200899

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Publication date: 25 March 2024

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

Full work available at URL: https://arxiv.org/abs/2311.02312

zbMATH Keywords

CUSUMcorrelation matrixchange point estimationchange point detectionsignflip parallel analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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• CONTINUOUS INSPECTION SCHEMES
• A nonparametric test for a constant correlation matrix

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