2 citations · 4 across the 5 of their papers we have counts for
3 papers · 1 filter
Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
Peiliang Bai, Abolfazl Safikhani, George Michailidis
We study the problem of detecting and locating change points in high-dimensional Vector Autoregressive (VAR) models, whose transition matrices exhibit low rank plus sparse structur…
A Fast Detection Method of Break Points in Effective Connectivity Networks
Peiliang Bai, Abolfazl Safikhani, George Michailidis
There is increasing interest in identifying changes in the underlying states of brain networks. The availability of large scale neuroimaging data creates a strong need to develop f…
Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package
Peiliang Bai, Yue Bai, Abolfazl Safikhani +1
Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuro…