Kavli Affiliate: Feng Long| Summary: This paper develops adaptive procedures for detecting and locating mean changes in high-dimensional time series. Quadratic CUSUM statistics target dense changes, whereas coordinatewise maximum statistics target sparse changes. Two weighting schemes are considered to accommodate both interior and boundary changes. Under general non-Gaussian vector dependence, we establish the limiting distributions, […]
Continue.. High-Dimensional Change Point Analysis for Temporally Dependent Data