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Journal of Business & Economic Statistics Volume 41, 2023 - Issue 3

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Detection of Multiple Structural Breaks in Large Covariance Matrices

Yu-Ning Lia School of Mathematical Sciences, Zhejiang University, Hangzhou, China;b Department of Economics and Related Studies, University of York, York, UK

https://orcid.org/0000-0003-1473-0146 View further author information

Degui Lic Department of Mathematics, University of York, York, UKCorrespondence[email protected]
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Piotr Fryzlewiczd Department of Statistics, London School of Economics, London, UKView further author information

Pages 846-861 | Published online: 09 Jun 2022

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https://doi.org/10.1080/07350015.2022.2076686
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