Comparative Evaluation of Structural Break Detection Methods in High-dimensional Time Series: A Simulation-Based Study with Financial Applications
This paper focuses on the detection of structural breaks in the second-order matrices of multivariate time series. A comprehensive simulation-based comparison is conducted to measure the performance of three widely cited nonparametric methods that allow for serial dependence in the data: the pure CUSUM procedure with binary segmentation in Aue et al., (2009), the CUSUM-based sparsified binary segm
