Detection of multiple structural breaks in large covariance matrices
Yu-Ning Li, Degui Li, and Piotr Fryzlewicz
| Year of publication: |
2023
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|---|---|
| Authors: | Li, Yu-Ning ; Li, Degui ; Fryzlewicz, Piotr |
| Subject: | Approximate factor models | Binary segmentation | CUSUM | Large covariance matrix | Principal component analysis | Structural breaks | Strukturbruch | Structural break | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Hauptkomponentenanalyse | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2076686 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014448448