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20082026
most citedBreak detection in the covariance structure of multivariate time series models

251 citations · 512 across the 26 of their papers we have counts for

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math.PR2026

Geometric Regime--Switching Diffusions on Stratified Riemannian Spaces with an Application to Covariance Matrices

Leonardo Marconi, Matteo Farnè, Alexander Aue

We construct geometric regime-switching diffusions, a class of Markov processes on locally compact stratified Riemannian state spaces. In contrast with classical regime-switching a…