High-Dimensional and Panel Data

We have considered in several instances, see e.g. Sects. 1.3 , 5.5 , and 5.6 , performing change point analysis with multivariate time series. In this chapter we change our notation slightly to denote such multivariate time series data as \(X_{i,t}, \quad t\in \{1,\ldots ,T\}, \;i \in \{1,\ldots ,N\},\) where we think of t and T as denoting “time”, and N denotes the dimension or number of “cross-sectional units” that we observe. For example, such data might comprise real valued observations of N financial or economic time series over T time units.