منابع مشابه
Detecting change-points in extremes∗
Even though most work on change-point estimation focuses on changes in the mean, changes in the variance or in the tail distribution can lead to more extreme events. In this paper, we develop a new method of detecting and estimating the change-points in the tail of multiple time series data. In addition, we adapt existing tail change-point detection methods to our specific problem and conduct a...
متن کاملDetecting change-points in multidimensional stochastic processes
Ageneral test statistic for detecting change-points inmultidimensional stochastic processes with unknown parameters is proposed. The test statistic is specialized to the case of detecting changes in sequences of covariance matrices. Large-sample distributional results are presented for the test statistic under the null hypothesis of no-change. The finite-sample properties of the test statistic ...
متن کاملDetecting change-points in Markov chains
Markov chains provide a flexible model for dependent random variables with applications in such disciplines as physics, environmental science and economics. In the applied study of Markov chains, it may be of interest to assess whether the transition probability matrix changes during an observed realization of the process. If such changes occur, it would be of interest to estimate the transitio...
متن کاملDetecting change-points on different information levels
Change-point problems are considered in which at some unobservable time the intensity of a point process switches from one level to another. Optimal detection stopping times are derived for different information levels.
متن کاملA Bayesian approach to detecting change points in climatic records
Given distinct climatic periods in the various facets of the Earth’s climate system, many attempts have been made to determine the exact timing of ‘change points’ or regime boundaries. However, identification of change points is not always a simple task. A time series containing N data points has approximately N distinct placements of k change points, rendering brute force enumeration futile as...
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ژورنال
عنوان ژورنال: Statistics and Its Interface
سال: 2015
ISSN: 1938-7989,1938-7997
DOI: 10.4310/sii.2015.v8.n1.a3