Testing and estimating change-points in the covariance matrix of a high-dimensional time series.
Ansgar StelandPublished in: J. Multivar. Anal. (2020)
Keyphrases
- covariance matrix
- high dimensional time series
- covariance matrices
- transformation matrix
- principal component analysis
- sample size
- mahalanobis distance
- gaussian mixture
- eigenvalues and eigenvectors
- geometrical interpretation
- eigendecomposition
- data points
- feature points
- multivariate gaussian
- cma es
- particle swarm optimization algorithm
- lower bound
- closed form
- dimensionality reduction