A Group Fused LASSO plus LASSO approach with adaptive weights detects change points in piecewise-constant sparse covariance matrices and yields consistent estimators under stated conditions.
Journal of Scientific Computing , year = 2019, volume = 79, number = 2, month = dec, pages =
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Change-point detection in variance-covariance matrix
A Group Fused LASSO plus LASSO approach with adaptive weights detects change points in piecewise-constant sparse covariance matrices and yields consistent estimators under stated conditions.