Change-point analysis in increasing dimension
نویسندگان
چکیده
منابع مشابه
Kernel Change-point Analysis
We introduce a kernel-based method for change-point analysis within a sequence of temporal observations. Change-point analysis of an unlabelled sample of observations consists in, first, testing whether a change in the distribution occurs within the sample, and second, if a change occurs, estimating the change-point instant after which the distribution of the observations switches from one dist...
متن کاملBayesian Analysis of Change - Point Hazard Rate
Change-point hazard rate models arise, for example, in applying \burn-in" techniques to screen defective items and in studying times until undesirable side eeects occur in clinical trials. The classical approach develops estimates of model parameters, with particular interest in the threshold or change-point parameter, but exclusively in terms of asymptotic properties. Such asymptotics can be p...
متن کاملChange Point Analysis and Regime Switching Models
Change points and changing regimes can be observed in many statistical time series. In this paper we analyze the most influential approaches of modeling these occurrences. Along with the theory some of the most interesting applications are presented. We find out that use of terminology is not unique, leading to considerable differences between the models, as will be pointed out.
متن کاملMonte Carlo Analysis of Change Point Estimators
We consider several estimators for the change point in a sequence of independent observations. These are defined as the maximizing points of usually used statistics for nonparametric change point detection problems. Our investigations focus on the non asymptotic behaviour of the proposed estimators for sample sizes commonly observed in practice. We conducted a broad Monte Carlo study to compare...
متن کاملBayesian change point estimation in Poisson-based control charts
Precise identification of the time when a process has changed enables process engineers to search for a potential special cause more effectively. In this paper, we develop change point estimation methods for a Poisson process in a Bayesian framework. We apply Bayesian hierarchical models to formulate the change point where there exists a step < /div> change, a linear trend and a known multip...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2012
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.05.007