• Corpus ID: 248571751

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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