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Change-point Analysis in Nonstationary Stochastic Models (Hardcover) (Boris Brodsky)
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This is a monograph on the detection and estimation of changes in non-stationary stochastic models. It covers retrospective and sequential change-point detection, as well as hypothesis testing, in both univariate and multivariate non-stationary models. It is rigorous in the mathematical details and proofs, and will be of interest to researchers in the area as well as postgraduate students. It includes some illustrative examples to help understanding of the methods.