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math.ST2022
Parametric change point detection with random occurrence of the change point
Cassandra Milbradt
We are concerned with the problem of detecting a single change point in the model parameters of time series data generated from an exponential family. In contrast to the existing l…
math.ST2019★ 8 cited
High-probability bounds for the reconstruction error of PCA
Cassandra Milbradt, Martin Wahl
We derive high-probability bounds for the reconstruction error of PCA in infinite dimensions. We apply our bounds in the case that the eigenvalues of the covariance operator satisf…