{"paper":{"title":"Structural break analysis in high-dimensional covariance structure","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.TH"],"primary_cat":"math.ST","authors_text":"Valeriy Avanesov","submitted_at":"2018-03-01T17:14:48Z","abstract_excerpt":"We consider detection and localization of an abrupt break in the covariance structure of high-dimensional random data. The paper proposes a novel testing procedure for this problem. Due to its nature, the approach requires a properly chosen critical level. In this regard we propose a purely data-driven calibration scheme. The approach can be straightforwardly employed in online setting and is essentially multiscale allowing for a trade-off between sensitivity and change-point localization (in online setting, the delay of detection). The description of the algorithm is followed by a formal theo"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1803.00508","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}