Change-point analysis in nonstationary stochastic models
DOI10.1201/9781315367989zbMATH Open1416.62018OpenAlexW2587287546MaRDI QIDQ2833452FDOQ2833452
Authors: Boris Brodsky 
Publication date: 18 November 2016
Full work available at URL: https://doi.org/10.1201/9781315367989
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hypothesis testingchange-point analysisasymptotical optimalityfalse alarmfalse decisionnonstationary stochastic modelsretrospective problem of detectionsequential problem of detection
Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Cited In (10)
- TWO‐WAY CHANGE‐POINT MODEL AND ITS APPLICATION
- Multiscale change point detection via gradual bandwidth adjustment in moving sum processes
- Simple change point model in heteroscedastic extremes
- Change-point analysis in increasing dimension
- The multiple filter test for change point detection in time series
- A change-point model for the \(r\)-largest order statistics with applications to environmental and financial data
- Perpetuities and asymptotic change-point analysis
- Change point estimation in non-monotonic aging models
- Change point inference in ergodic diffusion processes based on high frequency data
- Change‐Point Estimation of Fractionally Integrated Processes
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