Structural Breaks in Time Series
Project goals
Statistical modelling of trends and changes in time series has attracted many statisticians in the last two decades. The reason is that there is a whole spectrum of applications when data indicate trend(s) or change(s) and as a consequence it also results in a number of interesting theoretical problems.In this project we want to focus on developing techniques fot the statistical analysis in sedies of dependent data (time series), that is to detect structural breaks (change-points) in certain model assumptions via specific testing or monitoring procedures. Since data sets from applications typically do not satisfy certain assumptions of independence or identical distributions, we aim at further developing change-point methods for dependent data. The idea is to modify existing procedures, which have been developed for the independent case, to models possessing certain dependency structures, and taking these specific dependencies in the design of schemes. A further goal is to obtain corresponding theoretical results for multivariate time series, again in according to the requirements from apllications.
Keywords
Public support
Provider
Czech Science Foundation
Programme
International projects
Call for proposals
Mezinárodní projekty 3 (SGA02009GA1GC)
Main participants
—
Contest type
VS - Public tender
Contract ID
201/09/J006
Alternative language
Project name in Czech
Strukturální změny v časových řadách
Annotation in Czech
Cílem je vyvinout, popř. modifikovat dříve vyvinuté statistické modely, které by co nejlépe vystihovaly trendy a změny v pozorovaných časových řadách, najít co nejslabší předpoklady, které odpovídají reálné situaci a při kterých lze odvodit teoretické statistické vlastnosti.
Scientific branches
Completed project evaluation
Provider evaluation
U - Uspěl podle zadání (s publikovanými či patentovanými výsledky atd.)
Project results evaluation
The project gone according to plan both in terms of expertise and in terms of disbursement of funds.
Solution timeline
Realization period - beginning
Jan 1, 2009
Realization period - end
Dec 31, 2011
Project status
U - Finished project
Latest support payment
Apr 16, 2011
Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP12-GA0-GC-U/01:1
Data delivery date
Feb 9, 2015
Finance
Total approved costs
1,226 thou. CZK
Public financial support
1,226 thou. CZK
Other public sources
0 thou. CZK
Non public and foreign sources
0 thou. CZK
Recognised costs
1 226 CZK thou.
Public support
1 226 CZK thou.
0%
Provider
Czech Science Foundation
CEP
BA - General mathematics
Solution period
01. 01. 2009 - 31. 12. 2011