Change-point methods for multivariate time-series: paired vectorial observations

Popis výsledku

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Jazyk výsledku
angličtina
Název v původním jazyce
Change-point methods for multivariate time-series: paired vectorial observations
Popis výsledku v původním jazyce
We consider paired and two-sample break-detection procedures for vectorial observations and multivariate time series. The new methods involve L2-type criteria based on empirical characteristic functions and are easy to compute regardless of dimension. We obtain asymptotic results that allow for application of the methods to a wide range of settings involving on-line as well as retrospective circumstances with dependence between the two time series as well as with dependence within each series.
Název v anglickém jazyce
Change-point methods for multivariate time-series: paired vectorial observations
Popis výsledku anglicky
We consider paired and two-sample break-detection procedures for vectorial observations and multivariate time series. The new methods involve L2-type criteria based on empirical characteristic functions and are easy to compute regardless of dimension. We obtain asymptotic results that allow for application of the methods to a wide range of settings involving on-line as well as retrospective circumstances with dependence between the two time series as well as with dependence within each series.

Projekt
GA18-08888S: Dvouvýběrový bod změny
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění
2020
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Druh výsledku

J_imp - Článek v periodiku v databázi Web of Science

J_imp

OECD FORD

Statistics and probability

Rok uplatnění

2020