High dimensional change point estimation via sparse projection
نویسندگان
چکیده
منابع مشابه
High dimensional change point estimation via sparse projection
Changepoints are a very common feature of Big Data that arrive in the form of a data stream. In this paper, we study high-dimensional time series in which, at certain time points, the mean structure changes in a sparse subset of the coordinates. The challenge is to borrow strength across the coordinates in order to detect smaller changes than could be observed in any individual component series...
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................................................................................................................................... v 1 . INTROIIUCTION .................................................................................................................... 1 1.1 Background .............................................................................................................. ...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2017
ISSN: 1369-7412
DOI: 10.1111/rssb.12243