# Optimal Change-point Testing for High-dimensional Linear Models with Temporal Dependence

@inproceedings{Wang2022OptimalCT, title={Optimal Change-point Testing for High-dimensional Linear Models with Temporal Dependence}, author={Daren Wang and Zifeng Zhao}, year={2022} }

This paper studies change-point testing for high-dimensional linear models, an important problem that is not well explored in the literature. Speciﬁcally, we propose a quadratic-form-based cumulative sum (CUSUM) test to inspect the stability of the regression coeﬃcients in a high-dimensional linear model. The proposed test is able to control the type-I error at any desired level and is theoretically sound for temporally dependent observations. We establish the asymptotic distribution of the…

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