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Cover: 9783031516085 | Change Point Analysis for Time Series | Gregory Rice (u. a.) | Buch
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Change Point Analysis for Time Series
Buch von Gregory Rice (u. a.)
Sprache: Englisch

117,95 €*

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Beschreibung
This volume provides a comprehensive survey that covers various modern methods used for detecting and estimating change points in time series and their models. The book primarily focuses on asymptotic theory and practical applications of change point analysis. The methods discussed in the book go beyond the traditional change point methods for univariate and multivariate series. It also explores techniques for handling heteroscedastic series, high-dimensional series, and functional data. While the primary emphasis is on retrospective change point analysis, the book also presents sequential "on-line" methods for detecting change points in real-time scenarios. Each chapter in the book includes multiple data examples that illustrate the practical application of the developed results. These examples cover diverse fields such as economics, finance, environmental studies, and health data analysis. To reinforce the understanding of the material, each chapter concludes with several exercises.Additionally, the book provides a discussion of background literature, allowing readers to explore further resources for in-depth knowledge on specific topics. Overall, "Change Point Analysis for Time Series" offers a broad and informative overview of modern methods in change point analysis, making it a valuable resource for researchers, practitioners, and students interested in analyzing and modeling time series data.
This volume provides a comprehensive survey that covers various modern methods used for detecting and estimating change points in time series and their models. The book primarily focuses on asymptotic theory and practical applications of change point analysis. The methods discussed in the book go beyond the traditional change point methods for univariate and multivariate series. It also explores techniques for handling heteroscedastic series, high-dimensional series, and functional data. While the primary emphasis is on retrospective change point analysis, the book also presents sequential "on-line" methods for detecting change points in real-time scenarios. Each chapter in the book includes multiple data examples that illustrate the practical application of the developed results. These examples cover diverse fields such as economics, finance, environmental studies, and health data analysis. To reinforce the understanding of the material, each chapter concludes with several exercises.Additionally, the book provides a discussion of background literature, allowing readers to explore further resources for in-depth knowledge on specific topics. Overall, "Change Point Analysis for Time Series" offers a broad and informative overview of modern methods in change point analysis, making it a valuable resource for researchers, practitioners, and students interested in analyzing and modeling time series data.
Über den Autor
Lajos Horváth is a faculty member in the Department of Mathematics at the University of Utah. He has coauthored over 300 peer reviewed papers and 5 books in the areas of statistics and probability on the topics of empirical process theory, functional data analysis, and change point analysis. He became a fellow at the Institute of Mathematical Statistics in 1990. He has been acknowledged as an ISI highly cited researcher. In addition to his research, Lajos has played significant editorial roles in several top research journals, including Statistics & Probability Letters, Journal of Statistical Planning and Inference and Journal of Time Series Econometrics.
Gregory Rice is a faculty member in the Department of Statistics and Actuarial Science at the University of Waterloo. He received his undergraduate degree in mathematics from Oregon State University, and a PhD in mathematics from the University of Utah. He has coauthored over 40 papers in theareas of functional data and time series analysis. His work has been supported by the Natural Science and Engineering Research Council of Canada Discovery Accelerator program.
Inhaltsverzeichnis
Cumulative Sum Processes.- Change Point Analysis of the Mean.- Variance Estimation, Change Points in Variance, and Heteroscedasticity.- Regression Models.- Parameter Changes in Time Series Models.- Sequential Monitoring.- High-dimensional and Panel Data.- Functional Data.
Details
Erscheinungsjahr: 2024
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik, Medizin, Naturwissenschaften, Technik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Reihe: Springer Series in Statistics
Inhalt: xiii
545 S.
6 s/w Illustr.
30 farbige Illustr.
545 p. 36 illus.
30 illus. in color.
ISBN-13: 9783031516085
ISBN-10: 3031516087
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Rice, Gregory
Horváth, Lajos
Hersteller: Springer Nature Switzerland
Springer International Publishing
Springer Series in Statistics
Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße: 241 x 160 x 36 mm
Von/Mit: Gregory Rice (u. a.)
Erscheinungsdatum: 12.05.2024
Gewicht: 0,998 kg
Artikel-ID: 128100943
Über den Autor
Lajos Horváth is a faculty member in the Department of Mathematics at the University of Utah. He has coauthored over 300 peer reviewed papers and 5 books in the areas of statistics and probability on the topics of empirical process theory, functional data analysis, and change point analysis. He became a fellow at the Institute of Mathematical Statistics in 1990. He has been acknowledged as an ISI highly cited researcher. In addition to his research, Lajos has played significant editorial roles in several top research journals, including Statistics & Probability Letters, Journal of Statistical Planning and Inference and Journal of Time Series Econometrics.
Gregory Rice is a faculty member in the Department of Statistics and Actuarial Science at the University of Waterloo. He received his undergraduate degree in mathematics from Oregon State University, and a PhD in mathematics from the University of Utah. He has coauthored over 40 papers in theareas of functional data and time series analysis. His work has been supported by the Natural Science and Engineering Research Council of Canada Discovery Accelerator program.
Inhaltsverzeichnis
Cumulative Sum Processes.- Change Point Analysis of the Mean.- Variance Estimation, Change Points in Variance, and Heteroscedasticity.- Regression Models.- Parameter Changes in Time Series Models.- Sequential Monitoring.- High-dimensional and Panel Data.- Functional Data.
Details
Erscheinungsjahr: 2024
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik, Medizin, Naturwissenschaften, Technik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Reihe: Springer Series in Statistics
Inhalt: xiii
545 S.
6 s/w Illustr.
30 farbige Illustr.
545 p. 36 illus.
30 illus. in color.
ISBN-13: 9783031516085
ISBN-10: 3031516087
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Rice, Gregory
Horváth, Lajos
Hersteller: Springer Nature Switzerland
Springer International Publishing
Springer Series in Statistics
Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße: 241 x 160 x 36 mm
Von/Mit: Gregory Rice (u. a.)
Erscheinungsdatum: 12.05.2024
Gewicht: 0,998 kg
Artikel-ID: 128100943
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