Detection of Multiple Structural Breaks in Large Covariance Matrices

This article studies multiple structural breaks in large contemporaneous covariance matrices of high-dimensional time series satisfying an approximate factor model. The breaks in the second-order moment structure of the common components are due to sudden changes in either factor loadings or covaria...

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Vydané v:	Journal of business & economic statistics Ročník 41; číslo 3; s. 846 - 861
Hlavní autori:	Li, Yu-Ning, Li, Degui, Fryzlewicz, Piotr
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Alexandria Taylor & Francis 03.07.2023 Taylor & Francis Ltd
Predmet:	Algorithms Approximate factor models Binary segmentation Coronaviruses CUSUM Large covariance matrix Monte Carlo simulation Principal component analysis Structural breaks
ISSN:	0735-0015, 1537-2707
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