We suggest a method for estimating a covariance matrix on the basis of a sample of vectors drawn from a multivariate normal distribution. In particular, we penalize the likelihood with a lasso penalty on the entries of the covariance matrix. This penalty plays two important roles: it reduces the...

Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data are continually arriving and are analyzed adaptively. We...