Nonparametric Methods in Change Point Problems

Nonparametric Methods in Change Point Problems

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The explosive development of information science and technology puts in new problems involving statistical data analysis. These problems result from higher re quirements concerning the reliability of statistical decisions, the accuracy of math ematical models and the quality of control in complex systems. A new aspect of statistical analysis has emerged, closely connected with one of the basic questions of cynergetics: how to qcompressq large volumes of experimental data in order to extract the most valuable information from data observed. De tection of large qhomogeneousq segments of data enables one to identify qhiddenq regularities in an object's behavior, to create mathematical models for each seg ment of homogeneity, to choose an appropriate control, etc. Statistical methods dealing with the detection of changes in the characteristics of random processes can be of great use in all these problems. These methods have accompanied the rapid growth in data beginning from the middle of our century. According to a tradition of more than thirty years, we call this sphere of statistical analysis the qtheory of change-point detection. q During the last fifteen years, we have witnessed many exciting developments in the theory of change-point detection. New promising directions of research have emerged, and traditional trends have flourished anew. Despite this, most of the results are widely scattered in the literature and few monographs exist. A real need has arisen for up-to-date books which present an account of important current research trends, one of which is the theory of non parametric change--point detection.... *m (ym agt; 0), ym+2 2 /m-1 + r m+ 2 + m + r m+1, {/m--n agt; a m + 30 m+1 + . . . -- * m--n-1, we write, from the definition of TN and N, m+ n-1 P. (A) alt; P. (y(m+ n) alt; N) alt; P. ( X we aamp; N) = k= m+n-1 k+ n-1 = P{n(h-la]) + XL me a€c N}alt; P{ XL me alt;-N64 hanbsp;...

Title:Nonparametric Methods in Change Point Problems
Author:E. Brodsky, B.S. Darkhovsky
Publisher:Springer Science & Business Media - 2013-03-14


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