Change-Point Analysis in Nonstationary Stochastic Models

Boris Brodsky

March 23, 2017 by Chapman and Hall/CRC
Reference - 346 Pages - 10 B/W Illustrations
ISBN 9781498755962 - CAT# K27495


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  • Different types of changes, including abrupt changes, gradual changes, and purely random and disappearing changes.
  • Changes in parameters of univariate and multivariate nonstationary stochastic models.
  • Theorems about the characteristics of the methods, as well as computer simulations of the resulting algorithms.
  • Practical applications of the methods to detection of changes in real-world systems.
  • Methods for the detection of structural changes in various financial models.
  • Comprehensive bibliography


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.