Search Results - subject:"multiple change point"

Multi-threshold structural equation model

Wang, Jingli; Li, Jialiang - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 377-387

Persistent link: https://www.econbiz.de/10014448173

Multiple break detection in the correlation structure of random variables

Galeano, Pedro; Wied, Dominik - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 262-282

Correlations between random variables play an important role in applications, e.g. in financial analysis. More precisely, accurate estimates of the correlation between financial returns are crucial in portfolio management. In particular, in periods of financial crisis, extreme movements in...

Persistent link: https://www.econbiz.de/10011056392

Exploring the latent segmentation space for the assessment of multiple change-point models

Guédon, Yann - In: Computational Statistics 28 (2013) 6, pp. 2641-2678

This paper addresses the retrospective or off-line multiple change-point detection problem. Multiple change-point … proposed methods may help to compare alternative multiple change-point models (e.g. Gaussian model with piecewise constant … change-point models that can be applied both in a non-Bayesian and a Bayesian framework. We show using examples that the …

Persistent link: https://www.econbiz.de/10010998429

Estimating join points and modelling for multiple change point problem

Chakraborty, Ashis Kumar; Basak, Ishita - In: Opsearch : journal of the Operational Research Society … 50 (2013) 4, pp. 504-520

Persistent link: https://www.econbiz.de/10010234243

Analysis of Regime Switching Behaviour of Indian Stock Markets

Laha, Arnab Kumar - Society for Computational Economics - SCE - 2006

I consider the problem of detecting and predicting regime switching behaviour in the context of Indian Stock Market data. First I discuss detection of volatility change points using the LRT and the Binary Segmentation procedure of Vostrikova (1981). The detected volatility changes are correlated...

Persistent link: https://www.econbiz.de/10005706186

Statistical Analysis of Temporal Variations of Seismicity Level in Some Italian Regions

Rotondi, Renata - In: Natural Hazards 19 (1999) 2, pp. 139-150

Rotondi and Pagliano considered the problem of identifying periods with different seismicity levels as a multiple-changepoint problem: after having estimated the complete part of the historical catalog related to a seismic source zone, inference was made about the number and the location of k...

Persistent link: https://www.econbiz.de/10010995568