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20192026
most citedCollective anomaly detection in High-dimensional VAR Models

1 citations · 2 across the 4 of their papers we have counts for

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stat.ME2022★ 1 cited

High-dimensional time series segmentation via factor-adjusted vector autoregressive modelling

Haeran Cho, Hyeyoung Maeng, Idris A. Eckley +1

Vector autoregressive (VAR) models are popularly adopted for modelling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR…