Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence

DOI10.1007/s00362-023-01484-3zbMath1541.62219MaRDI QIDQ6579426

Changryong Baek, Seok-Oh Jeong, Taewook Lee, Marie-Christine Düker

Publication date: 25 July 2024

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

CUSUMchange point analysishigh-dimensional time seriesbinary segmentationblock wild bootstrapmoving sum algorithm

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

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