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Change-point detection for high-dimensional time series with nonstationarities

Project Details

StatusFinished
Effective start/end date25/06/16 → 24/12/17
Linkshttp://gtr.rcuk.ac.uk/projects?ref=EP/N024435/1

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  • 3 Article (Academic Journal)

  • mosum: A package for moving sums in change point analysis

    Meier, A., Kirch, C. & Cho, H., 19 Mar 2021, In: Journal of Statistical Software. 97, 8, p. 1-42 42 p.

    Research output: Contribution to journal › Article (Academic Journal) › peer-review

    Open Access
    File
    40 Citations (Scopus)
    495 Downloads (Pure)

  • Two-stage data segmentation permitting multiscale change points, heavy tails and dependence

    Cho, H. & Kirch, C., 25 Sept 2021, (E-pub ahead of print) In: Annals of the Institute of Statistical Mathematics. 2021, 32 p.

    Research output: Contribution to journal › Article (Academic Journal) › peer-review

    Open Access
    File
    28 Citations (Scopus)
    105 Downloads (Pure)

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

    Barigozzi, M., Cho, H. & Fryzlewicz, P., 1 Sept 2018, In: Journal of Econometrics. 206, 1, p. 187-225 39 p.

    Research output: Contribution to journal › Article (Academic Journal) › peer-review

    Open Access
    File
    90 Citations (Scopus)
    373 Downloads (Pure)