Estimation of high-dimensional change-points under a group sparsity structure

HIGHLIGHTS

• who: Hanqing Cai and Tengyao Wang from the Department of Statistical Sciences, London WC E HB, United Kingdom have published the research: Estimation of high-dimensional change-points under a group sparsity structure, in the Journal: (JOURNAL) of 31/Dec/2011
• what: The authors propose a new change point procedure called groupInspect that exploits the group sparsity structure to estimate a projection direction so as to aggregate information across the component series to successfully estimate the change-point in the mean structure of the series. The authors show that, in a single change-point setting . . .
  

   

  

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