Chapterbronze1994

Some aspects of change-point analysis

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Advanced Statistical Process Monitoring Probability and Statistical Research Statistical Methods and Inference

Abstract

Change-points divide statistical models into homogeneous segments.Inference about change-points is discussed here in the context of testing the hypothesis of 'no change', point and interval estimation of a change-point, changes in nonparametric models, changes in regression, and detection of change in distribution of sequentially observed data.

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References

1954CONTINUOUS INSPECTION SCHEMES 1932Economic Control of Quality of Manufactured Product.1971Procedures for Reacting to a Change in Distribution 1986Optimal Stopping Times for Detecting Changes in Distributions 1970Inference About the Change-Point in a Sequence of Random Variables 1988Estimating the number of change-points via Schwarz' criterion 1985Optimal Detection of a Change in Distribution 1966A Comparison of Some Control Chart Procedures

Cited by

2008Break Detection for a Class of Nonlinear Time Series Models 2001Isotonic regression: Another look at the changepoint problem 2007Confidence sets for the date of a single break in linear time series regressions 1998The Equity Premium and Structural Breaks 1999Capturing the distributional behaviour of the maximum likelihood estimator of a changepoint 2021Testing Randomness Online 2009L’estimation de modèles avec changements structurels multiples 2019Effects of expanding a non-contributory health insurance scheme on out-of-pocket healthcare spending by the poor in Turkey

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