2 citations · 2 across the 5 of their papers we have counts for
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stat.ML2019★ 2 cited
Online Graph-Based Change-Point Detection for High Dimensional Data
Yang-Wen Sun, Katerina Papagiannouli, Vladmir Spokoiny
Online change-point detection (OCPD) is important for application in various areas such as finance, biology, and the Internet of Things (IoT). However, OCPD faces major challenges…
math.ST2019
Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
Katerina Papagiannouli
This article studies nonparametric methods to estimate the co-integrated volatility for multi-dimensional Lévy processes with high frequency data. We construct a spectral estimator…