Non-parametric statistical diagnosis. Problems and methods
The present book continues the authors' work, Nonparametric methods in change-point problems. (1993). The book presents new ideas and theoretical and practical results after the period of 1993. It gives a systematic account of different problems of statistical diagnostics, which is by definition the detection of changes in probabilistic characteristics of random processes and fields. In this context, a unified nonparametric approach is proposed. Two main fields are covered: (a) The detection of changes caused by different stationary pieces of processes, and (b) the detection of contaminations in data which may be considered as outliers. Special attention is devoted to sequential problems of statistical diagnosis. The headlines are as follows: Part 1. Theory. Chapter 1, Preliminary considerations; Chapter 2, State of the art review; Chapter 3, Retrospective methods of statistical diagnosis for random sequences: change-point problems; Chapter 4, Retrospective methods of statistical diagnosis for random processes: 'Contamination' problems; Chapter 5, Sequential methods of statistical diagnosis; Chapter 6, Statistical diagnosis problems for random fields. Part 2. Applications. Chapter 7, Application of the change-point analysis to investigation of the brain electrical activity; Chapter 8, Methods of statistical diagnosis in economic and financial systems; Appendix, Algorithms of statistical diagnosis. Chapter 1 is an introduction to the theory of random processes and random fields including different mixing conditions. Chapter 2 briefly reviews the work on statistical diagnosis till 1998. Chapter 3 is devoted to various change-point models and statistical inference about the change-point. Different-change point estimators are compared and a Rao-Cramér type inequality is established. In Chapter 4 solutions for the contamination problem are proposed and analysed. Chapter 5 deals with sequential change point problems. The reader will find here a nonparametric analogue of the familiar cumulative sums method (CUSUM). Also, questions on robustness are discussed. Chapter 6 studies the diagnosis problems for random fields. Chapter 7 is due to Kaplan and Shishkin, who applied change point analysis to the investigation of the brain's electrical activity. A lot of material of this applied research branch is summarized. Chapter 8 deals with structural breaks for econometric models. It is written mostly on an informal level. At the end of each chapter the reader will find a section with conclusions where the main results are summarized and discussed. More than 300 references to the literature are given. The book is of interest in research and for advanced post-graduate students. The methods can be applied to econometrics and biomedical engineering.
- Serial rank statistics for detection of changes.
- Optimal sequential kernel detection for dependent processes
- Multiple change-point detection: a selective overview
- Hölder norm test statistics for epidemic change
- Monitoring changes in linear models
- Asymptotically distribution free test for parameter change in a diffusion process model
- Darling-Erdős limit results for change-point detection in panel data
- Detecting anomalies in fibre systems using 3-dimensional image data
- On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data
- Nonparametric predictive inference for binary diagnostic tests
- A change detection procedure for an ergodic diffusion process
- Convergence in distribution of multiple change point estimators
- On \(L^2\) space approach to change point problems
- Non-parametric change-point estimation using string matching algorithms
- Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling
- Sequential Change-Point Detection in State-Space Models
- Nonparametric partially random sequential test under phase II sampling: an illustration to monitor water samples for arsenic contamination
- Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
- Change-point problem for high-order Markov chain
- scientific article; zbMATH DE number 5964742 (Why is no real title available?)
- Optimal detection of transition probability change in random sequence
- scientific article; zbMATH DE number 425941 (Why is no real title available?)
- scientific article; zbMATH DE number 3881741 (Why is no real title available?)
- A binary control chart to detect small jumps
- Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
- Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
- Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models
- Is Average Run Length to False Alarm Always an Informative Criterion?
- Sequential detection and estimation of change-points
- Sequential Detection of Change-Points in Linear Models
- Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
- Nonparametric predictive inference for diagnostic accuracy
- Parametric statistical change point analysis
- Detecting changes in real-time data: a user's guide to optimal detection
- scientific article; zbMATH DE number 854950 (Why is no real title available?)
- Sequential data-adaptive bandwidth selection by cross-validation for nonparametric prediction
- New approach to the segmentation problem for time series of arbitrary nature
- Inference on the change point estimator of variance in measurement error models
- Nonparametric product partition models for multiple change-points analysis
- On the complexity and dimension of continuous finite-dimensional maps
- On nonparametric change point estimator based on empirical characteristic functions
- scientific article; zbMATH DE number 5200049 (Why is no real title available?)
- Some partially sequential nonparametric tests for detecting linear trend
- Random Walks with Drift – A Sequential Approach
- Asymptotically optimal methods of change-point detection for composite hypotheses
- Estimating the number of block boundaries from diagonal blockwise matrices without penalization
- Structural breaks in panel data: large number of panels and short length time series
- Discussion on “Is Average Run Length to False Alarm Always an Informative Criterion?” by Yajun Mei
- On spline regression under Gaussian subordination with long memory
- Structural changes and unit roots in non-stationary time series
- Asymptotics of trimmed CUSUM statistics
- Segmented multiple-Lasso and peak recognition algorithm for change-point detection
- Data-adaptive structural change-point detection via isolation
- Z-process method for change point problems in time series
- Empirical likelihood ratio test for the change-point problem
- Sequential change-point detection for mixing random sequences under composite hypotheses
- Multiple change-point estimation with U-statistics
- Algebraic change-point detection
- Exact asymptotic distribution of change-point MLE for change in the mean of Gaussian se\-quences
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