تقرير
Estimating a change point in a sequence of very high-dimensional covariance matrices
| العنوان: | Estimating a change point in a sequence of very high-dimensional covariance matrices |
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| المؤلفون: | Dette, H., Pan, G. M., Yang, Q. |
| سنة النشر: | 2018 |
| المجموعة: | Mathematics Statistics |
| مصطلحات موضوعية: | Statistics - Methodology, Mathematics - Statistics Theory |
| الوصف: | This paper considers the problem of estimating a change point in the covariance matrix in a sequence of high-dimensional vectors, where the dimension is substantially larger than the sample size. A two-stage approach is proposed to efficiently estimate the location of the change point. The first step consists of a reduction of the dimension to identify elements of the covariance matrices corresponding to significant changes. In a second step we use the components after dimension reduction to determine the position of the change point. Theoretical properties are developed for both steps and numerical studies are conducted to support the new methodology. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/1807.10797 |
| رقم الأكسشن: | edsarx.1807.10797 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |