Download Change-point analysis in nonstationary stochastic models by Boris Brodsky PDF

By Boris Brodsky

ISBN-10: 1271271281

ISBN-13: 9781271271283

ISBN-10: 1498755968

ISBN-13: 9781498755962

ISBN-10: 2392392412

ISBN-13: 9782392392413

This booklet covers the advance of equipment for detection and estimation of adjustments in complicated structures. those structures are more often than not defined via nonstationary stochastic types, which contain either static and dynamic regimes, linear and nonlinear dynamics, and relentless and time-variant buildings of such structures. It covers either retrospective and sequential difficulties, rather theoretical equipment of optimum detection. Such equipment are built and their features are analyzed either theoretically and experimentally.

Suitable for researchers operating in change-point research and stochastic modelling, the ebook contains theoretical information mixed with computing device simulations and sensible purposes. Its rigorous technique may be favored by way of these seeking to delve into the main points of the equipment, in addition to these seeking to observe them.

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Extra info for Change-point analysis in nonstationary stochastic models

Example text

Convergence of the estimator Pϑ to its true value. This fact follows from here: Let P{|ξn − ξ| ≥ ǫ} ≤ A(ǫ) exp(−B(ǫ)n), where A(ǫ), B(ǫ) are some positive functions. s. s. convergence. Retrospective Disorder Problem 41 Now, let us consider the general case. From the algorithm’s description, it follows that the process of splitting the whole sample into subsamples is carried out in a sequential way, and, as a result of this process we arrive to the situation (with the probability exponentially close to unit) when it is at maximum one change-point in each subsample.

The corresponding Lebesgue measure). Suppose θ ∈ Θ is a certain fixed point. We consider the problem of the asymptotic (as N → ∞) a priori lower estimate for the probability Pθ { θ − θˆN > ǫ}, where θˆN is an arbitrary estimate of the parameter θ for the sample XN . ’s is considered. , Borovkov (1999)) k-step Markov sequence. ’s with the finite second moment. We suppose that the characteristic polynom here is stable for all θ. From this assumption, it follows that if f : Rs → R1 , s ≥ 1 is a measurable function and Eθ |f (x1 , .

1) , . . , Ξ(k+1) }, Ξ(i) = {ξ (i) (n)}∞ n=1 п»„ ξ (n) = (i) N ξ (n) if [ϑi−1 N ] ≤ n < [ϑi N ], i = 1, . . , k + 1), Eθ ξ (n) ≡ 0, and the function ϕ(ϑ, t), t ∈ [0, 1] is written as follows: k ϕ(ϑ, t) = i=1 ai I(ϑi−1 ≤ t < ϑi ) + ak+1 I(ϑk ≤ t ≤ 1), def with |ai − ai+1 | = hi ≥ h > 0. First stage of the algorithm: obtaining a preliminary list of change-points. 1. Find the global maximum of the statistic |YN (n, 1)| and fix the point of maximum n1 . 2. Divide the sample into two parts (left and right from n1 ), and find the points of global maximum of |YN (n, 1)| at each two sub-samples.

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Change-point analysis in nonstationary stochastic models by Boris Brodsky

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