Detection of Multiple Structural Breaks in Large Covariance Matrices-Reference-Cited by-同舟云学术

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Detection of Multiple Structural Breaks in Large Covariance Matrices

Published:2022-06-09 Issue: Volume: Page:1-16
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Li Yu-Ning¹²^ORCID,Li Degui³,Fryzlewicz Piotr⁴

Affiliation:

1. School of Mathematical Sciences, Zhejiang University, Hangzhou, China

2. Department of Economics and Related Studies, University of York, York, UK

3. Department of Mathematics, University of York, York, UK

4. Department of Statistics, London School of Economics, London, UK

Funder

British Academy/Leverhulme Small Research Grant

BA/Leverhulme Small Research Grant funded by the Leverhulme Trust

Engineering and Physical Sciences Research Council

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2076686

Reference65 articles.

1. Improved penalization for determining the number of factors in approximate factor models

2. Tests for Parameter Instability and Structural Change With Unknown Change Point

3. High dimensional efficiency with applications to change point tests

4. Break detection in the covariance structure of multivariate time series models

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. YÜKSEK FREKANSLI TÜRK LİRASI GETİRİLERİNDE YAPISAL KIRILMALARIN BELİRLENMESİ;Journal of Research in Business;2024-06-27

2. High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling;Journal of the American Statistical Association;2023-07-26

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