Change-point detection in high-dimensional covariance structure
Change-point detection in high-dimensional covariance structure is a scholarly work, published in 2018 in ''Electronic Journal of Statistics''. The main subjects of the publication include volatility, regularization, point, dimension, artificial intelligence, power of a test, curse of dimensionality, covariance, algorithm, false alarm, process, fault detection and isolation, mathematics, sensitivity, change detection, and computer science. The authors introduce a novel approach for an important problem of break detection.