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math.ST2023
Change point detection in low-rank VAR processes
Farida Enikeeva, Olga Klopp, Mathilde Rousselot
Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of parti…
math.ST2021
Change-Point Detection in Dynamic Networks with Missing Links
Farida Enikeeva, Olga Klopp
Structural changes occur in dynamic networks quite frequently and its detection is an important question in many situations such as fraud detection or cybersecurity. Real-life netw…
math.ST2019
Bump detection in the presence of dependency: Does it ease or does it load?
Farida Enikeeva, Axel Munk, Markus Pohlmann +1
We provide the asymptotic minimax detection boundary for a bump, i.e. an abrupt change, in the mean function of a stationary Gaussian process. This will be characterized in terms o…