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5. Simultaneous multiple change-point and factor analysis for high-dimensional time series

Simultaneous multiple change-point and factor analysis for high-dimensional time series

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：sendan

【摘 要】

：

In this paper,we propose a method for simultaneously analysing the factor structure of the data and detecting(possibly)multiple change-points in high-dimensional time series.

【作 者】

：

Haeran Cho Matteo Barigozzi Piotr Fryzlewicz 

【机 构】

：

School of Mathematics,University of Bristol,BS8 1TW,UK.

【出 处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

change-point analysis factor analysis high-dimensional time series dimension red 

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　　In this paper,we propose a method for simultaneously analysing the factor structure of the data and detecting(possibly)multiple change-points in high-dimensional time series.

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