Change Point Detection in the Mean of High-Dimensional Time Series Data under Dependence

High-dimensional time series are characterized by a large number of measurements and complex dependence, and often involve abrupt change points. We propose a new procedure to detect change points in the mean of high-dimensional time series data. The proposed procedure incorporates spatial and temporal dependence of data and is able to test and estimate the change point occurred on the boundary of time series. We study its asymptotic properties under mild conditions. Simulation studies demonstrate its robust performance through the comparison with other existing methods. Our procedure is applied to an fMRI dataset.