In this report the problem of sequential detection and estimation of change-points is considered. The sense of this problem is as follows: in practice after raising an alarm signal about a change it is often required to divide the whole obtained sequential sample into subsamples of observations before and after an unknown change-point. In this report asymptotically optimal methods are proposed ...

This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a consistent long-run variance estimator, which is needed to make the limiting null distribution free of nuisance parameters. The commonly used lag-window type long-run variance estimator requires to...

This paper studies a panel data regression setting, where a break occurs at a unknown common date. In this paper, we establish the consistency and rate of convergence of the change point estimator. The break date can be estimated consistently both in …xed time horizon and large panels, which indicates that the structural change can be well detected even in short panels. Furthermore, the limitin...

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 ...

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...

The Review takes as its starting point, on the balance of probabilities and not as a matter of belief, the majority opinion of the Australian and international scientific communities that human activities resulted in substantial global warming from the mid 20th century, and that continued growth in greenhouse gas concentrations caused by human-induced emissions would generate high risks of dang...

Recent international research has demonstrated a relationship between physical health and occupational status/level of appointment: people who hold higher level positions enjoy better physical health on average than those in lower positions. Researchers have speculated that this may be in part due to the lower levels of control exercised over pace and timetabling of work by those occupying lowe...

This paper addresses the verification of the integrity of digital images and detecting the traces of tampering without using any protecting pre–extracted or pre–embedded information which have become an important research field of image processing. This paper provides a novel and efficient approach for detecting the suspicious and modified regions of the image (the regions that have been tamper...

This article studies change-points of a function for noisy data observed from a transformation of the function. The proposed method uses a wavelet-vaguelette decomposition to extract information about the wavelet transformation of the function from the data and then detect and estimate change-points by the wavelet transformation. Asymptotic theory for the detection and estimation is established...

The concept of homogeneity plays a critical role in statistics, both in its applications as well as its theory. Change point analysis is a statistical tool that aims to attain homogeneity within time series data. This is accomplished through partitioning the time series into a number of contiguous homogeneous segments. The applications of such techniques range from identifying chromosome altera...