9 citations · 17 across the 2 of their papers we have counts for
3 papers
math.ST2019★ 9 cited
Change Point Estimation in Panel Data with Temporal and Cross-sectional Dependence
Monika Bhattacharjee, Moulinath Banerjee, George Michailidis
We study the problem of detecting a common change point in large panel data based on a mean shift model, wherein the errors exhibit both temporal and cross-sectional dependence. A…
math.ST2017★ 8 cited
Common change point estimation in panel data from the least squares and maximum likelihood viewpoints
Monika Bhattacharjee, Moulinath Banerjee, George Michailidis
We establish the convergence rates and asymptotic distributions of the common break change-point estimators, obtained by least squares and maximum likelihood in panel data models a…
math.ST2016
Large sample behaviour of high dimensional autocovariance matrices
Monika Bhattacharjee, Arup Bose
The existence of limiting spectral distribution (LSD) of , the symmetric sum of the sample autocovariance matrix of order , is known when the observ…