Change‐Point Models

Abstract

Abstract Change‐point models describe formally the problem of deciding whether a stochastic process is homogeneous in some sense. We review and classify various change‐point models with a focus on the more recent ones. In particular, we consider change‐point detection models in which the decision is based on sequentially observed data. Both, discrete and continuous models are presented. Finally, we give an overview of some parametric and nonparametric regression and hazard rate models with change points.

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