Tests and Estimation of Covariance Change-Points for Hi-Dim Data
Description
An implementation of the procedures in Zhong et al. (2019) and Santo and Zhong (2020)
for testing the homogeneity of covariance matrices, and estimating
multiple change-points in high-dimensional (Hi-Dim) longitudinal/functional data with general
temporospatial dependence. The null hypothesis of the homogeneity test is that
all covariance matrices are equal at each time point. If the null hypothesis is rejected,
the procedure further identifies the locations of the change points.
Note: The package uses Open MP. Mac OS X users may need to update clang compiler so that it supports Open MP.
References: Ping-Shou Zhong, Runze Li, Shawn Santo (2019)
Shawn Santo, Ping-Shou Zhong (2020) .