CP-Squared: A method for change point detection in core–periphery networks

作者：

Highlights：

• We develop a new methodology for detecting changes in core–periphery networks.

• Matrix factorization and a novel change statistic characterize network evolution.

• EWMA control charts are used for monitoring and change detection.

• We validate the method using simulated and real interbank lending data.

摘要

•We develop a new methodology for detecting changes in core–periphery networks.•Matrix factorization and a novel change statistic characterize network evolution.•EWMA control charts are used for monitoring and change detection.•We validate the method using simulated and real interbank lending data.

论文关键词：Networks,Change detection,Matrix factorization,Non-negative matrix factorization,Finance,Systemic risk

论文评审过程：Received 9 January 2021, Revised 2 August 2021, Accepted 5 February 2022, Available online 19 February 2022, Version of Record 21 February 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.116660