4 papers
High-Dimensional Change Point Analysis for Temporally Dependent Data
Xiaoyi Wang, Le Zhou, Jixuan Liu +1
This paper develops adaptive procedures for detecting and locating mean changes in high-dimensional time series. Quadratic CUSUM statistics target dense changes, whereas coordinate…
Elliptical Regularized Hotelling Testing for High Dimensional Data
Long Feng, Le Zhou, Xiaoyi Wang
We consider one-sample testing of a high-dimensional location parameter under elliptically symmetric distributions with heavy tails and pervasive cross-sectional dependence. We pro…
Cauchy Aggregation of Ridge-Regularized Hotelling Tests for High-Dimensional Change-Point Detection
Ping Zhao, Le Zhou, Long Feng
Ridge-regularized Hotelling-type (RHT) change-point tests depend on a ridge parameter , but the power-optimal value is determined by the unknown covariance structure and the un…
Rank-Based Sparse Regression in Principal Components Space under Measurement Error
Long Feng, Xiaoyi Wang, Le Zhou
We study high-dimensional regression in principal components space when the predictors are observed with additive measurement error and the response errors may be heavy-tailed. The…