Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal...
Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
About this item
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Author / Creator
Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
Journal title
Language
English
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
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Scope and Contents
Contents
We consider the detection of multiple change-points in a high-dimensional time series exhibiting both cross-sectional and temporal dependence. Several test statistics based on the celebrated CUSUM statistic are used and discussed. In particular, we propose a novel block wild bootstrap method to address the presence of cross-sectional and temporal d...
Alternative Titles
Full title
Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
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Record Identifier
TN_cdi_proquest_journals_3062795682
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3062795682
Other Identifiers
ISSN
0932-5026
E-ISSN
1613-9798
DOI
10.1007/s00362-023-01484-3
