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05/12/2023
Nonparametric data segmentation in multivariate time series via joint characteristic functions
Modern time series data often exhibit complex dependence and structural ...
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01/27/2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling
The package fnets for the R language implements the suite of methodologi...
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09/19/2022
High-dimensional data segmentation in regression settings permitting heavy tails and temporal dependence
We propose a data segmentation methodology for the high-dimensional line...
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08/17/2022
Capturing usage patterns in bike sharing system via multilayer network fused Lasso
Data collected from a bike-sharing system exhibit complex temporal and s...
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08/09/2022
Moving sum procedure for change point detection under piecewise linearity
We propose a computationally efficient, moving sum (MOSUM) procedure for...
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05/23/2022
Robust multiscale estimation of time-average variance for time series segmentation
There exist several methods developed for the canonical change point pro...
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04/06/2022
High-dimensional time series segmentation via factor-adjusted vector autoregressive modelling
Piecewise stationarity is a widely adopted assumption for modelling non-...
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01/16/2022
FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series
We propose fnets, a methodology for network estimation and forecasting o...
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06/24/2021
Bootstrap confidence intervals for multiple change points based on moving sum procedures
In this paper, we address the problem of quantifying uncertainty about t...
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12/23/2020
Data segmentation algorithms: Univariate mean change and beyond
Data segmentation a.k.a. multiple change point analysis has received con...
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11/27/2020
Multiple change point detection under serial dependence: Wild energy maximisation and gappy Schwarz criterion
We propose a methodology for detecting multiple change points in the mea...
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06/25/2020
Discussion of 'Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection'
We discuss the theoretical guarantee provided by the WBS2.SDLL proposed ...
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10/28/2019
Localised pruning for data segmentation based on multiscale change point procedures
The segmentation of a time series into piecewise stationary segments is ...
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11/01/2018
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
A high-dimensional r-factor model for an n-dimensional vector time serie...
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03/16/2018