L2hdchange

CRANL2hdchangeMaRDI QIDQ5983373

L2 Inference for Change Points in High-Dimensional Time Series

Jiaqi Li, Weining Wang, Likai Chen, Wei Biao Wu

Last update: 20 July 2023

Copyright license: GNU General Public License

Software version identifier: 1.0

Description

Provides a method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. See Li et al. (2023) "L2 Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM". arXiv preprint <arXiv:2208.13074>.

Cites work

• $\ell^2$ Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM

This page was built for software: L2hdchange