• Corpus ID: 224804092

Localizing Changes in High-Dimensional Regression Models

  title={Localizing Changes in High-Dimensional Regression Models},
  author={Alessandro Rinaldo and Daren Wang and Qin Wen and Rebecca M. Willett and Yi Yu},
This paper addresses the problem of localizing change points in high-dimensional linear regression models with piecewise constant regression coefficients. We develop a dynamic programming approach to estimate the locations of the change points whose performance improves upon the current state-of-the-art, even as the dimensionality, the sparsity of the regression coefficients, the temporal spacing between two consecutive change points, and the magnitude of the difference of two consecutive… 

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