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05/18/2023
Spectral Change Point Estimation for High Dimensional Time Series by Sparse Tensor Decomposition
We study the problem of change point (CP) detection with high dimensiona...
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10/11/2022
Stochastic Constrained DRO with a Complexity Independent of Sample Size
Distributionally Robust Optimization (DRO), as a popular method to train...
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03/25/2021
Testing for threshold effects in the TARMA framework
We present supremum Lagrange Multiplier tests to compare a linear ARMA s...
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02/23/2020