Supplemental material
Method
High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
Haeran Choa School of Mathematics, University of Bristol, Bristol, UK
https://orcid.org/0000-0002-0725-8704View further author information
https://orcid.org/0000-0002-0725-8704View further author information, Hyeyoung Maengb Department of Mathematical Sciences, Durham University, Durham, UKCorrespondence[email protected]
https://orcid.org/0000-0001-7835-5862View further author information
https://orcid.org/0000-0001-7835-5862View further author information, Idris A. Eckleyc Department of Mathematics and Statistics, Lancaster University, Lancaster, UKhttps://orcid.org/0000-0001-9957-2460View further author information
https://orcid.org/0000-0001-9957-2460View further author information & Paul Fearnheadc Department of Mathematics and Statistics, Lancaster University, Lancaster, UKhttps://orcid.org/0000-0002-9386-2341View further author information
https://orcid.org/0000-0002-9386-2341View further author information