Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimating a change point in a sequence of very high-dimensional
  covariance matrices   This paper considers the problem of estimating a change point in the
covariance matrix in a sequence of high-dimensional vectors, where the
dimension is substantially larger than the sample size. A two-stage approach is
proposed to efficiently estimate the location of the change point. The first
step consists of a reduction of the dimension to identify elements of the
covariance matrices corresponding to significant changes. In a second step we
use the components after dimension reduction to determine the position of the
change point. Theoretical properties are developed for both steps and numerical
studies are conducted to support the new methodology.

36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
33
The categories of this paper are: plasm-ph
4
The categories of this paper are: cond-mat
34
The categories of this paper are: chem-ph
27
The categories of this paper are: comp-gas
26
The categories of this paper are: bayes-an
23
The categories of this paper are: solv-int
5
The categories of this paper are: gr-qc
1
The categories of this paper are: cs
13
The categories of this paper are: quant-ph
28
The categories of this paper are: alg-geom
12
The categories of this paper are: nucl-th
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
24
The categories of this paper are: dg-ga