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CSDA
2007
13 years 9 months ago
2007
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...
CSDA
2007
13 years 9 months ago
2007
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...
CSDA
2004
13 years 9 months ago
2004
We present an algorithm for computing the probability density function of the product of two independent random variables, along with an implementation of the algorithm in a compu...
CSDA
2004
13 years 9 months ago
2004
In this paper, the problem of time series prediction is studied. A Bayesian procedure based on Gaussian process models using a nonstationary covariance function is proposed. Exper...
CSDA
2007
13 years 9 months ago
2007
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 ...