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CSDA
2007
111views more  CSDA 2007»
13 years 8 months ago
On rank tests for shift detection in time series
Robustified rank tests, applying a robust scale estimator, are investigated for reliable and fast shift detection in time series. The tests show good power for sufficiently larg...
Roland Fried, Ursula Gather
CSDA
2007
172views more  CSDA 2007»
13 years 8 months ago
AMCMC: An R interface for adaptive MCMC
We describe AMCMC, a software package for running adaptive MCMC algorithms on user-supplied density functions. AMCMC provides the user with an R interface, which in turn calls C pr...
Jeffrey S. Rosenthal
CSDA
2007
98views more  CSDA 2007»
13 years 8 months ago
A new Bayes estimate of the change point in the hazard function
An efficient estimate for the change point in the hazard function is obtained. This is based on a Bayesian estimator which uses equations concerning the parameters of a recently ...
Durdu Sertkaya Karasoy, Cem Kadilar
CSDA
2007
102views more  CSDA 2007»
13 years 8 months ago
On the robust detection of edges in time series filtering
Abstract: Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting l...
Roland Fried
CSDA
2007
104views more  CSDA 2007»
13 years 8 months ago
Archimedean copula estimation using Bayesian splines smoothing techniques
Copulas enable to specify multivariate distributions with given marginals.Various parametric proposals were made in the literature for these quantities, mainly in the bivariate ca...
Philippe Lambert