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stat.ME2021
Detecting changes in covariance via random matrix theory
Sean Ryan, Rebecca Killick
A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties.…
stat.ME2021
Graphical Influence Diagnostics for Changepoint Models
Ines Wilms, Rebecca Killick, David S. Matteson
Changepoint models enjoy a wide appeal in a variety of disciplines to model the heterogeneity of ordered data. Graphical influence diagnostics to characterize the influence of sing…