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Conditional Boundary Crossing Probabilities With Applications To Change Point Problems
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Book Synopsis Conditional Boundary Crossing Probabilities with Applications to Change-point Problems by : STANFORD UNIV CA DEPT OF STATISTICS.
Download or read book Conditional Boundary Crossing Probabilities with Applications to Change-point Problems written by STANFORD UNIV CA DEPT OF STATISTICS. and published by . This book was released on 1986 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: For normal random walks S sub 1, S sub 2 ..., formed from independent, identically distributed random variables X sub 1, X sub 2 ..., we determine the asymptotic behavior under regularity conditions of P(S sdub n> mg(n/m) for some n
Book Synopsis Boundary Crossing Probabilities and Statistical Applications by : STANFORD UNIV CA DEPT OF STATISTICS.
Download or read book Boundary Crossing Probabilities and Statistical Applications written by STANFORD UNIV CA DEPT OF STATISTICS. and published by . This book was released on 1985 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys recent results involving boundary crossing probabilities and related statistical applications. The first part is concerned with problems of sequential analysis, especially repeated significance tests and their application to sequential clinical trials involving survival data. The second part develops the probability theory motivated by the problems of Part 1. A method for computing first passage distributions of Brownian motion to linear boundaries is introduced and then modified to handle problems in discrete time and those involving nonlinear boundaries. The third part is concerned with fixed sample statistical problems, especially change-point problems, which involve boundary crossing probabilities. Examples are given of problems for which methods of Part 2 appear adequate and of problems which require new methods.
Book Synopsis Change-Point Analysis in Nonstationary Stochastic Models by : Boris Brodsky
Download or read book Change-Point Analysis in Nonstationary Stochastic Models written by Boris Brodsky and published by CRC Press. This book was released on 2016-12-12 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the development of methods for detection and estimation of changes in complex systems. These systems are generally described by nonstationary stochastic models, which comprise both static and dynamic regimes, linear and nonlinear dynamics, and constant and time-variant structures of such systems. It covers both retrospective and sequential problems, particularly theoretical methods of optimal detection. Such methods are constructed and their characteristics are analyzed both theoretically and experimentally. 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.
Book Synopsis Nonparametric Methods in Change Point Problems by : E. Brodsky
Download or read book Nonparametric Methods in Change Point Problems written by E. Brodsky and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: The explosive development of information science and technology puts in new problems involving statistical data analysis. These problems result from higher re quirements concerning the reliability of statistical decisions, the accuracy of math ematical models and the quality of control in complex systems. A new aspect of statistical analysis has emerged, closely connected with one of the basic questions of cynergetics: how to "compress" large volumes of experimental data in order to extract the most valuable information from data observed. De tection of large "homogeneous" segments of data enables one to identify "hidden" regularities in an object's behavior, to create mathematical models for each seg ment of homogeneity, to choose an appropriate control, etc. Statistical methods dealing with the detection of changes in the characteristics of random processes can be of great use in all these problems. These methods have accompanied the rapid growth in data beginning from the middle of our century. According to a tradition of more than thirty years, we call this sphere of statistical analysis the "theory of change-point detection. " During the last fifteen years, we have witnessed many exciting developments in the theory of change-point detection. New promising directions of research have emerged, and traditional trends have flourished anew. Despite this, most of the results are widely scattered in the literature and few monographs exist. A real need has arisen for up-to-date books which present an account of important current research trends, one of which is the theory of non parametric change--point detection.
Book Synopsis Scientific and Technical Aerospace Reports by :
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1994 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometrics of Structural Change by : Walter Krämer
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Book Synopsis Probability Theory by : Louis H. Y. Chen
Download or read book Probability Theory written by Louis H. Y. Chen and published by Walter de Gruyter GmbH & Co KG. This book was released on 2015-03-30 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is aimed specifically at publishing peer reviewed reviews and contributions presented at workshops and conferences. Each volume is associated with a particular conference, symposium or workshop. These events cover various topics within pure and applied mathematics and provide up-to-date coverage of new developments, methods and applications.
Book Synopsis Change Point Problems in Regression by : Stanford University. Department of Statistics
Download or read book Change Point Problems in Regression written by Stanford University. Department of Statistics and published by . This book was released on 1988 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on the problem of testing for a change in the regression model when errors are independently, normally distributed with constant, known or unknown variance. In both models, the author considers the likelihood ratio test (LRT) as the problem of the boundary crossing by the discrete stochastic process and studies problems such as approximations to significance levels, powers, and confidence regions for a change point. First of all, the proposes a modified LRT and discusses asymptotic properties of test statistics in cases of random and fixed independent variables. In both cases, the author derives analytical approximations to significance levels. When the independent variables are random, the limiting distribution of the modified LRS is a function of a Brownian motion and approximations in Siegmund are used. For fixed independent variables, the limiting distribution involves a Gaussian process with nondifferentiable sample paths. In this case, an approximation is derived assuming the known variance and mild conditions about the empirical distribution of the independent variable, using the argument in Leadbetter, Lindgren and Rootzen, modified for discrete time by Hogan and Siegmund. In Model-1, we are also concerned with the power of the LRT and confidence regions for a change point. Numerical approximations of significance levels and powers of the LRT and the results of corresponding Monte Carlo experiments are obtained. (KR).
Book Synopsis Computational Aspects of Model Choice by : Jaromir Antoch
Download or read book Computational Aspects of Model Choice written by Jaromir Antoch and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although no-one is, probably, too enthused about the idea, it is a fact that the development of most empirical sciences to a great extend depends of the development of data analysis methods and techniques, which, due to the necessity of applications of computers for that pur pose, actually means that it practically depends on the advancements and orientation of computational statistics. This volume contains complete texts of the lectures held during the Summer School on "Computational Aspects of Model Choice" orga nized jointly by Charles University, Prague, and International Associa tion for Statistical Computing (IASC) on July 1-14, 1991, in Prague. Main aims of the Summer School were to review and analyse some of the recent developments concerning computational aspects of the model choice as well as their theoretical background. The topics covers the problems of the change point detection, robust estimation and its computational aspects, classification using binary trees, stochastic ap proximation and optimization including the discussion about available software, computational aspects of graphical model selection and mul tiple hypotheses testing. The bridge between these different approaches is formed by the survey paper about statistical applications of artificial intelligence.
Book Synopsis Change-point Problems by : Edward G. Carlstein
Download or read book Change-point Problems written by Edward G. Carlstein and published by IMS. This book was released on 1994 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-Parametric Statistical Diagnosis by : E. Brodsky
Download or read book Non-Parametric Statistical Diagnosis written by E. Brodsky and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: Non-Parametric Statistical Diagnosis
Download or read book Statistica Sinica written by and published by . This book was released on 1992 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Statistical Planning and Inference by : North-Holland Publishing Company
Download or read book Journal of Statistical Planning and Inference written by North-Holland Publishing Company and published by . This book was released on 2000 with total page 1080 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Structural Change by : Peter Hackl
Download or read book Economic Structural Change written by Peter Hackl and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Book Synopsis Advances in Statistical Decision Theory and Applications by : S. Panchapakesan
Download or read book Advances in Statistical Decision Theory and Applications written by S. Panchapakesan and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shanti S. Gupta has made pioneering contributions to ranking and selection theory; in particular, to subset selection theory. His list of publications and the numerous citations his publications have received over the last forty years will amply testify to this fact. Besides ranking and selection, his interests include order statistics and reliability theory. The first editor's association with Shanti Gupta goes back to 1965 when he came to Purdue to do his Ph.D. He has the good fortune of being a student, a colleague and a long-standing collaborator of Shanti Gupta. The second editor's association with Shanti Gupta began in 1978 when he started his research in the area of order statistics. During the past twenty years, he has collaborated with Shanti Gupta on several publications. We both feel that our lives have been enriched by our association with him. He has indeed been a friend, philosopher and guide to us.
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1997 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Proceedings of the Fourth Prague Symposium on Asymptotic Statistics, 29 August-2 September 1988 by : Petr Mandl
Download or read book Proceedings of the Fourth Prague Symposium on Asymptotic Statistics, 29 August-2 September 1988 written by Petr Mandl and published by . This book was released on 1989 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
