Buch, Englisch, 368 Seiten, Format (B × H): 156 mm x 235 mm, Gewicht: 657 g
Buch, Englisch, 368 Seiten, Format (B × H): 156 mm x 235 mm, Gewicht: 657 g
ISBN: 978-1-4987-5596-2
Verlag: Chapman and Hall/CRC
Suitable for researchers working in change-point analysis and stochastic modelling, the book includes theoretical details combined with computer simulations and practical applications. Its rigorous approach will be appreciated by those looking to delve into the details of the methods, as well as those looking to apply them.
Autoren/Hrsg.
Weitere Infos & Material
I Retrospective Problems
1 Preliminary considerations
2 General Retrospective Disorder Problem
3 Retrospective Detection and Estimation of Stochastic Trends
4 Retrospective Detection and Estimation of Switches in Univariate Models
5 Retrospective change-point detection and estimation in multivariate stochastic models
6 Retrospective Detection of Change-Points in State-Space Models
7 Copula, GARCH, and Other Financial Models
II Sequential Problems
8 Sequential hypothesis testing
9 Sequential change-point detection for univariate models
10 Sequential Change-Point Detection in Multivariate Models
11 Early change-point detection
12 Sequential Detection of Switches in Models with Changing Structures
13 Sequential detection and estimation of change-points
Bibliography
Index