4 papers
Elliptical Regularized Hotelling Tests for High-Dimensional Change-Point Detection
Fengyi Song, Mengtao Wen, Long Feng
We propose an elliptical regularized Hotelling (ERHT) procedure for detecting location changes in high-dimensional sequences with heavy-tailed, cross-sectionally dependent observat…
Difference-Based High-Dimensional Long-Run Covariance Matrix Estimation for Mean-shift Time Series
Yanhong Liu, Fengyi Song, Long Feng
We consider estimation of high-dimensional long-run covariance matrices for time series with nonconstant means, a setting in which conventional estimators can be severely biased. T…
Change-Points Detection and Support Recovery for Spatially Indexed Functional Data
Fengyi Song, Decai Liang, Changliang Zou
Large volumes of spatiotemporal data, characterized by high spatial and temporal variability, may experience structural changes over time. Unlike traditional change-point problems,…
Rank Based Tests for High Dimensional White Noise
Dachuan Chen, Fengyi Song, Long Feng
The development of high-dimensional white noise test is important in both statistical theories and applications, where the dimension of the time series can be comparable to or exce…