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Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
Journal of the American Statistical Association ( IF 3.7 ) Pub Date : 2023-02-28 , DOI: 10.1080/01621459.2022.2079514
Peiliang Bai 1 , Abolfazl Safikhani 1 , George Michailidis 1, 2, 3
Affiliation  

We study the problem of detecting and locating change points in high-dimensional Vector Autoregressive (VAR) models, whose transition matrices exhibit low rank plus sparse structure. We first addre...

中文翻译:

降阶高维向量自回归模型中的多变化点检测

我们研究了高维向量自回归(VAR)模型中检测和定位变化点的问题,其转换矩阵呈现低秩加稀疏结构。我们首先添加...
更新日期:2023-02-28
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