A0859
Title: Changepoints in mean for high-dimensional VAR systems
Authors: Sayar Karmakar - University of Florida (United States) [presenting]
Abstract: Estimation of changepoints in the mean for a high-dimensional VAR system is investigated. The existing literature for VAR processes almost universally assumes a constant or zero mean. However, the existing theories fail if the mean changes once or multiple times during the time when the data is observed. Recent techniques are leveraged from both changepoints and high-dimensional VAR estimation to come up with an accurate estimation of these breakpoints and contrast them with existing methods. The theoretical results are corroborated with extensive simulations.
