Limit theorems in change-point analysis by Lajos Horváth, Miklós Csörgö

Limit theorems in change-point analysis



Download Limit theorems in change-point analysis




Limit theorems in change-point analysis Lajos Horváth, Miklós Csörgö
Language: English
Page: 415
Format: djvu
ISBN: 0471955221, 9780471955221
Publisher: Wiley

Change-point problems arise in a variety of experimental and mathematical sciences, as well as in engineering and health sciences. This rigorously researched text provides a comprehensive review of recent probabilistic methods for detecting various types of possible changes in the distribution of chronologically ordered observations. Further developing the already well-established theory of weighted approximations and weak convergence, the authors provide a thorough survey of parametric and non-parametric methods, regression and time series models together with sequential methods. All but the most basic models are carefully developed with detailed proofs, and illustrated by using a number of data sets. Contains a thorough survey of:

The Likelihood Approach Non-Parametric Methods Linear Models Dependent Observations

This book is undoubtedly of interest to all probabilists and statisticians, experimental and health scientists, engineers, and essential for those working on quality control and surveillance problems.

Foreword by David Kendall

From the Publisher

The authors provide a concise overview and rigorous mathematical treatment of methods for change-point problems. A number of data sets are used to illustrate the effectiveness of the various techniques. Topics covered include parametric models, regression models, nonparametric methods and time series models. Csorgo is a widely acknowledged expert in the field.

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