factorcpt

swMATH18260MaRDI QIDQ30103

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Source code repository: https://github.com/cran/factorcpt

Described by source

• Simultaneous multiple change-point and factor analysis for high-dimensional time series

Related Items (15)

A robust bootstrap change point test for high-dimensional location parameter ⋮ Nonparametric Anomaly Detection on Time Series of Graphs ⋮ Time-varying general dynamic factor models and the measurement of financial connectedness ⋮ Fast and Scalable Algorithm for Detection of Structural Breaks in Big VAR Models ⋮ Sequential testing for structural stability in approximate factor models ⋮ Consistent estimation of high-dimensional factor models when the factor number is over-estimated ⋮ Group fused Lasso for large factor models with multiple structural breaks ⋮ Quasi-maximum likelihood estimation of break point in high-dimensional factor models ⋮ Change point detection for nonparametric regression under strongly mixing process ⋮ A semiparametric latent factor model for large scale temporal data with heteroscedasticity ⋮ Optimal covariance change point localization in high dimensions ⋮ Nonparametric estimation of large covariance matrices with conditional sparsity ⋮ Monitoring for a change point in a sequence of distributions ⋮ Testing for time-varying factor loadings in high-dimensional factor models ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

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