264 citations · 864 across the 22 of their papers we have counts for
8 papers · 1 filter
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz
We propose the first comprehensive treatment of high-dimensional time series factor models with multiple change-points in their second-order structure. We operate under the most fl…
Multiscale and multilevel technique for consistent segmentation of nonstationary time series
Haeran Cho, Piotr Fryzlewicz
In this paper, we propose a fast, well-performing, and consistent method for segmenting a piecewise-stationary, linear time series with an unknown number of breakpoints. The time s…
High-dimensional variable selection via tilting
Haeran Cho, Piotr Fryzlewicz
The paper considers variable selection in linear regression models where the number of covariates is possibly much larger than the number of observations. High dimensionality of th…
Multiple-change-point detection for high dimensional time series via sparsified binary segmentation
Haeran Cho, Piotr Fryzlewicz
Time series segmentation, a.k.a. multiple change-point detection, is a well-established problem. However, few solutions are designed specifically for high-dimensional situations. I…
A test for second-order stationarity of time series based on unsystematic sub-samples
Haeran Cho
In this paper, we introduce a new method for testing the stationarity of time series, where the test statistic is obtained from measuring and maximising the difference in the secon…
Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets
Haeran Cho, Piotr Fryzlewicz
We compare two state-of-the-art non-linear techniques for nonparametric function estimation via piecewise constant approximation: the taut string and the Unbalanced Haar methods. W…
Modelling and forecasting daily electricity load curves: a hybrid approach
Haeran Cho, Yannig Goude, Xavier Brossat +1
We propose a hybrid approach for the modelling and the short-term forecasting of electricity loads. Two building blocks of our approach are (i) modelling the overall trend and seas…
Change-point detection in panel data via double CUSUM statistic
Haeran Cho
In this paper, we consider the problem of (multiple) change-point detection in panel data. We propose the double CUSUM statistic which utilises the cross-sectional change-point str…