Related papers: Inference for Change Points in High Dimensional Da…
In this paper we develop methodology for testing relevant hypotheses about functional time series in a tuning-free way. Instead of testing for exact equality, for example for the equality of two mean functions from two independent time…
Motivated by some common-change point tests, we investigate the asymptotic distribution of the U-statistic process $U_n(t)=\sum_{i=1}^{[nt]}\sum_{j=[nt]+1}^n h(X_i,X_j)$, $0\leq t\leq 1$, when the underlying data are long-range dependent.…
We propose a high-dimensional white noise test that captures serial correlations within and across component series without specifying an alternative model. The test statistic is a U-statistic based on sample autocovariances. Under the…
The purpose of this study is to provide a new methodology of how one can consistently estimate a change-point in time series data. In contrast with previous studies, the suggested methodology employs only the empirical spectral density and…
This paper studies methods for testing and estimating change-points in the covariance structure of a high-dimensional linear time series. The assumed framework allows for a large class of multivariate linear processes (including vector…
Changepoints are a very common feature of Big Data that arrive in the form of a data stream. In this paper, we study high-dimensional time series in which, at certain time points, the mean structure changes in a sparse subset of the…
Changepoint detection identifies times when the generative process of a time series changes, with applications in healthcare, cybersecurity, and finance. In multivariate settings, changes in cross-variable and temporal dependence are…
Change-point analysis is a flexible and computationally tractable tool for the analysis of times series data from systems that transition between discrete states and whose observables are corrupted by noise. The change-point algorithm is…
This paper concerns about the limiting distributions of change point estimators, in a high-dimensional linear regression time series context, where a regression object $(y_t, X_t) \in \mathbb{R} \times \mathbb{R}^p$ is observed at every…
We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal…
Sequential change point tests aim at giving an alarm as soon as possible after a structural break occurs while controlling the asymptotic false alarm error. For such tests it is of particular importance to understand how quickly a break is…
We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are…
A new bivariate partial sum process for locally stationary time series is introduced and its weak convergence to a Brownian sheet is established. This construction enables the development of a novel self-normalized CUSUM test statistic for…
This article is motivated by the objective of providing a new analytically tractable and fully frequentist framework to characterize and implement regression trees while also allowing a multivariate (potentially high dimensional) response.…
We consider the problem of detecting abrupt changes in the distribution of a multi-dimensional time series, with limited computing power and memory. In this paper, we propose a new, simple method for model-free online change-point detection…
Detecting and locating changes in highly multivariate data is a major concern in several current statistical applications. In this context, the first contribution of the paper is a novel non-parametric two-sample homogeneity test for…
Test of independence is of fundamental importance in modern data analysis, with broad applications in variable selection, graphical models, and causal inference. When the data is high dimensional and the potential dependence signal is…
We propose a two-sample test for high-dimensional means that requires neither distributional nor correlational assumptions, besides some weak conditions on the moments and tail properties of the elements in the random vectors. This…
We develop algorithms for detecting multiple changepoints in functional data when the number of changepoints is unknown (unsupervised case), when it is specified apriori (supervised case), and when certain bounds are available…
We propose a non-parametric statistical procedure for detecting multiple change-points in multidimensional signals. The method is based on a test statistic that generalizes the well-known Kruskal-Wallis procedure to the multivariate…