搜索结果: 1-14 共查到“理论统计学 Change”相关记录14条 . 查询时间(0.125 秒)
Inference and testing for structural change in time series of counts model
time series of counts Poisson autoregression likelihood estimation change-point semi-parametric test
2013/6/14
We consider here together the inference questions and the change-point problem in Poisson autoregressions (see Tj{\o}stheim, 2012). The conditional mean (or intensity) of the process is involved as a ...
Power of Change-Point Tests for Long-Range Dependent Data
Change-point problems nonparametric change-point tests Wilcoxon two-sample rank test power of test local alternatives asymptotic relativeefficiency of tests long-range dependent data,long memory functional limit theorem
2013/4/28
We investigate the power of the CUSUM test and the Wilcoxon change-point test for a shift in the mean of a process with long-range dependent noise. We derive analytiv formulas for the power of these t...
The Lasso for High-Dimensional Regression with a Possible Change-Point
Lasso oracleine qualities sample splitting sparsity threshold models
2012/11/23
We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter....
A procedure for the change point problem in parametric models based on phi-divergence test-statistics
Change point Information criterion Divergence Wald test-statistic
2011/7/19
This paper studies the change point problem for a general parametric, univariate or multivariate family of distributions.
Non-parametric change-point detection using string matching algorithms
School of Mathematics, University of Bristol, University Walk, Bristol, BS8 1TW, UK
2011/7/7
Given the output of a data source taking values in a finite alphabet, we wish to detect change-points, that is times when the statistical properties of the source change.
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/24
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
Asymptotic properties of maximum likelihood estimators in models with multiple change points
change-point fraction common parameter consistency convergence rate Kullback–Leibler distance within-segment parameter
2011/3/24
Models with multiple change points are used in many fields; however, the theoretical properties of maximum likelihood estimators of such models have received relatively little attention. The goal of t...
Robust Retrospective Multiple Change-point Estimation for Multivariate Data
Change-point estimation multivariate data Kruskal-Wallis test robust statistics joint segmentation
2011/3/18
We propose a non-parametric statistical procedure for detecting multiple change-points in multidimensional signals. The method is based on a test statistic that generalizes the well-known Kruskal-Wall...
Multiple change-point Poisson model for threshold exceedances of air pollution concentrations
Applications (stat.AP)
2010/12/17
A Bayesian multiple change-point model is proposed to analyse violations of air quality standards by pollutants such as nitrogen oxides (NO2 and NO) and carbon monoxide (CO). The model is built on the...
A Cox Model with a Change-Point Applied to an Actuarial Problem
A Cox Model Change-Point an Actuarial Problem
2009/9/17
A Cox Model with a Change-Point Applied to an Actuarial Problem。
Detection of Change--Points in the Spectral Density With Applications to ECG Data
Change--Points Spectral Density Applications ECG Data
2010/3/17
Nous proposons une nouvelle méthode pour estimer les ruptures du rythme cardiaque dans les
bandes parasympathiques et orthosympathiques basée sur la transformée en ondelettes dans le domaine
complex...
Posterior Convergence and Model Estimation in Bayesian Change-point Problems
change-point problems posterior distribution rate of convergence
2010/4/30
We study the posterior distribution of the Bayesian multiple change-point regression
problem when the number and the locations of the change-points are unknown. While it is
relatively easy to apply ...
Bootstrapping confidence intervals for the change-point of time series
confidence intervals block bootstrap mixing change in mean
2010/4/29
We study an AMOC time series model with an abrupt change in the mean and
dependent errors that fulfill certain mixing conditions. We obtain confidence intervals
for the unknown change-point via boot...
Change point estimation for the telegraph process observed at discrete times
discrete observations change point problem volatility regime switch telegraph process
2010/4/29
The telegraph process models a random motion with finite velocity and
it is usually proposed as an alternative to diffusion models. The process
describes the position of a particle moving on the rea...