Detection of Multiple Structural Breaks in Large Covariance Matrices

Li, Yu-Ning orcid.org/0000-0003-1473-0146, Li, Degui orcid.org/0000-0001-6802-308X and Fryzlewicz, Piotr (2023) Detection of Multiple Structural Breaks in Large Covariance Matrices. Journal of Business and Economic Statistics. pp. 846-861. ISSN 0735-0015

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Item Type: Article
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© 2022 The Author(s)

Dates:
  • Published: 13 June 2023
  • Published (online): 9 June 2022
  • Accepted: 2 May 2022
Institution: The University of York
Academic Units: The University of York > Faculty of Sciences (York) > Mathematics (York)
The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Funding Information:
Funder
Grant number
THE BRITISH ACADEMY
SRG1920\100603
Depositing User: Pure (York)
Date Deposited: 10 May 2022 14:00
Last Modified: 10 Jan 2025 00:08
Published Version: https://doi.org/10.1080/07350015.2022.2076686
Status: Published
Refereed: Yes
Identification Number: 10.1080/07350015.2022.2076686
Open Archives Initiative ID (OAI ID):

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Filename: 07350015.2022.pdf

Description: Detection of Multiple Structural Breaks in Large Covariance Matrices

Licence: CC-BY 2.5

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