A Group Fused LASSO plus LASSO approach with adaptive weights detects change points in piecewise-constant sparse covariance matrices and yields consistent estimators under stated conditions.
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A marginalized transition model with Markov dependence and category-specific changepoint specification is developed for detecting shifts in serially correlated categorical time series, demonstrated on Canadian cloud cover observations.
citing papers explorer
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Change-point detection in variance-covariance matrix
A Group Fused LASSO plus LASSO approach with adaptive weights detects change points in piecewise-constant sparse covariance matrices and yields consistent estimators under stated conditions.
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Changepoint Detection in Categorical Time Series with Application to Daily Total Cloud Cover in Canada
A marginalized transition model with Markov dependence and category-specific changepoint specification is developed for detecting shifts in serially correlated categorical time series, demonstrated on Canadian cloud cover observations.