Simultaneous multiple change-point and factor analysis for high-dimensional time series
Year of publication: |
2018
|
---|---|
Authors: | Barigozzi, Matteo ; Cho, Haeran ; Fryzlewicz, Piotr |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 206.2018, 1, p. 187-225
|
Subject: | Change-point detection | Double CUSUM binary segmentation | Piecewise stationary factor model | Principal component analysis | Wavelet transformation | Zeitreihenanalyse | Time series analysis | Faktorenanalyse | Factor analysis | Theorie | Theory |
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