Change point detection

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10053218" target="_blank" >RIV/00216208:11320/10:10053218 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Change point detection

Original language description

This contribution deals with tests on the stability of statistical models. The problem is formulated in terms of testing the null hypothesis against the alternative hypothesis. The null hypothesis claims that the model remains the same during the whole observational period, usually it means that the parameters of the model do not change. The alternative hypothesis claims that, at an unknown time point, the model changes, which means that some of the parameters of the model are subject to a~change. We consider both Bayesian type procedures as well as procedures based on the maximum likelihood principle.

Czech name

—

Czech description

—

Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

Project

<a href="/en/project/GA201%2F09%2F0755" target="_blank" >GA201/09/0755: Modelling nonhomogeneous time series</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Forum Statisticum Slovacum

ISSN

1336-7420

e-ISSN

—

Volume of the periodical

6

Issue of the periodical within the volume

2

Country of publishing house

SK - SLOVAKIA

Number of pages

14

Pages from-to

—

UT code for WoS article

—

EID of the result in the Scopus database

—