Simultaneous multiple change-point and factor analysis for high-dimensional time series
Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz
| Year of publication: |
2018
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|---|---|
| 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
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| Subject: | Change-point detection | Double CUSUM binary segmentation | Piecewise stationary factor model | Principal component analysis | Wavelet transformation | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Zustandsraummodell | State space model | Hauptkomponentenanalyse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110376