The authors construct spatial-median and spatial-sign CUSUM statistics for high-dimensional changepoint testing, derive their null asymptotics and asymptotic independence, and combine them adaptively via Fisher's method.
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Spatial-Sign based High dimensional Change Point Inference
The authors construct spatial-median and spatial-sign CUSUM statistics for high-dimensional changepoint testing, derive their null asymptotics and asymptotic independence, and combine them adaptively via Fisher's method.