factorcpt swMATH ID: 18260 Software Authors: Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz Description: Simultaneous multiple change-point and factor analysis for high-dimensional time series. We propose the first comprehensive treatment of high-dimensional time series factor models with multiple change-points in their second-order structure. We operate under the most flexible definition of piecewise stationarity, and estimate the number and locations of change-points consistently as well as identifying whether they originate in the common or idiosyncratic components. Through the use of wavelets, we transform the problem of change-point detection in the second-order structure of a high-dimensional time series, into the (relatively easier) problem of change-point detection in the means of high-dimensional panel data. Our methodology circumvents the difficult issue of the accurate estimation of the true number of factors by adopting a screening procedure. In extensive simulation studies, we show that factor analysis prior to change-point detection improves the detectability of change-points, and identify and describe an interesting ’spillover’ effect in which substantial breaks in the idiosyncratic components get, naturally enough, identified as change-points in the common components, which prompts us to regard the corresponding change-points as also acting as a form of ’factors’. We introduce a simple graphical tool for visualising the piecewise stationary evolution of the factor structure over time. Our methodology is implemented in the R package factorcpt, available from CRAN. Homepage: https://cran.r-project.org/web/packages/factorcpt/index.html Source Code: https://github.com/cran/factorcpt Dependencies: R Keywords: piecewise stationary factor model; change-point detection; principal component analysis; wavelet transformation; Double CUSUM Binary Segmentation; financial crisis; Brexit Related Software: wbs; basta; R; FreSpeD; CRAN; breakfast; ecp; changepoint; GraphScope; StFinMetrics; Brain Connectivity Toolbox; astsa; haarfisz Cited in: 13 Publications Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Simultaneous multiple change-point and factor analysis for high-dimensional time series. Zbl 1398.62221Barigozzi, Matteo; Cho, Haeran; Fryzlewicz, Piotr 2018 all top 5 Cited by 32 Authors 4 Barigozzi, Matteo 2 Cho, Haeran 1 Bai, Yue 1 Chen, Xiaohui 1 Cribben, Ivor 1 Fryzlewicz, Piotr 1 Gel, Yulia R. 1 Hallin, Marc 1 Horváth, Lajos 1 Kokoszka, Piotr S. 1 Leng, Chenlei 1 Li, Degui 1 Li, Yuning 1 Michailidis, George C. 1 Ofori-Boateng, Dorcas 1 Peng, Bin 1 Rinaldo, Alessandro 1 Safikhani, Abolfazl 1 Soccorsi, Stefano 1 Trapani, Lorenzo 1 von Sachs, Rainer 1 Wang, Daren 1 Wang, Hanchao 1 Wang, Haonan 1 Wang, Shixuan 1 Xu, Wen 1 Yang, Qing 1 Yu, Mengjia 1 Yu, Yi 1 Zhang, Lyuou 1 Zhang, Yi 1 Zhou, Wen all top 5 Cited in 9 Serials 3 Journal of Econometrics 2 Electronic Journal of Statistics 2 Journal of Computational and Graphical Statistics 1 The Annals of Statistics 1 Journal of Multivariate Analysis 1 Econometric Reviews 1 Stochastic Processes and their Applications 1 Statistical Papers 1 Bernoulli Cited in 3 Fields 13 Statistics (62-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) Citations by Year