Change-point analysis in nonstationary stochastic models /

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Bibliographic Details
Author / Creator:Brodsky, B. E. (Boris E.), 1955-
Imprint:Boca Raton : CRC Press, Taylor & Francis Group, [2017]
Description:1 online resource.
Language:English
Subject:Stochastic processes.
Stationary processes.
Change-point problems.
Change-point problems.
Stationary processes.
Stochastic processes.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11289552
Hidden Bibliographic Details
ISBN:9781498755979 (electronic bk.)
1498755976 (electronic bk.)
9781498755962
1498755968
Notes:Includes bibliographical references and index.
Description based on print version record.
Other form:Original 9781498755962 1498755968
Description
Summary:

This book covers the development of methods for detection and estimation of changes in complex systems. These systems are generally described by nonstationary stochastic models, which comprise both static and dynamic regimes, linear and nonlinear dynamics, and constant and time-variant structures of such systems. It covers both retrospective and sequential problems, particularly theoretical methods of optimal detection. Such methods are constructed and their characteristics are analyzed both theoretically and experimentally.

Suitable for researchers working in change-point analysis and stochastic modelling, the book includes theoretical details combined with computer simulations and practical applications. Its rigorous approach will be appreciated by those looking to delve into the details of the methods, as well as those looking to apply them.

Physical Description:1 online resource.
Bibliography:Includes bibliographical references and index.
ISBN:9781498755979 (electronic bk.)
1498755976 (electronic bk.)
9781498755962
1498755968