Description
Change-Point Analysis in Nonstationary Stochastic Models
Author: Brodsky Boris
Language: EnglishSubject for Change-Point Analysis in Nonstationary Stochastic Models:
Keywords
Change Point Detection; hypothesis testing; Asymptotically Optimal; retrospective detection; Unknown Change Point; sequential methods; Sequential Change Point Detection; abrupt change; Change Point Parameter; copula; Change Point Estimates; multivariate models; Multiple Change Points; Normalized Delay Time; CUSUM Test; CUSUM Method; Cramer’s Condition; Change Point Detection Methods; SV Model; GARCH Model; Change Point Problem; Copula Models; Priori Inequality; Change Point Detection Problems; Skorokhod Space; Sequential Detection; Unit Root
Publication date: 08-2022
Support: Print on demand
Publication date: 03-2017
· 15.6x23.4 cm · Hardback
Description
/li>Contents
/li>Biography
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This book covers the development of methods for detection and estimation of changes in complex systems. These systems are generally described by nonstationary stochastic models, which comprise both static and dynamic regimes, linear and nonlinear dynamics, and constant and time-variant structures of such systems. It covers both retrospective and sequential problems, particularly theoretical methods of optimal detection. Such methods are constructed and their characteristics are analyzed both theoretically and experimentally.
Suitable for researchers working in change-point analysis and stochastic modelling, the book includes theoretical details combined with computer simulations and practical applications. Its rigorous approach will be appreciated by those looking to delve into the details of the methods, as well as those looking to apply them.
I Retrospective Problems
1 Preliminary considerations
2 General Retrospective Disorder Problem
3 Retrospective Detection and Estimation of Stochastic Trends
4 Retrospective Detection and Estimation of Switches in Univariate Models
5 Retrospective change-point detection and estimation in multivariate stochastic models
6 Retrospective Detection of Change-Points in State-Space Models
7 Copula, GARCH, and Other Financial Models
II Sequential Problems
8 Sequential hypothesis testing
9 Sequential change-point detection for univariate models
10 Sequential Change-Point Detection in Multivariate Models
11 Early change-point detection
12 Sequential Detection of Switches in Models with Changing Structures
13 Sequential detection and estimation of change-points
Bibliography
Index
Boris Brodsky