Change-Point Methods for Multivariate Autoregressive Models and Multiple Structural Breaks in the Mean
Abstract:
In this thesis tests for a change in multivariate autoregressive time series are introduced and further a test for multiple changes in the mean is investigated. In both cases the change point estimators are asymptotically analysed.
| Zugehörige Institution(en) am KIT | Institut für Stochastik (STOCH) |
| Publikationstyp | Hochschulschrift |
| Publikationsjahr | 2013 |
| Sprache | Englisch |
| Identifikator | urn:nbn:de:swb:90-355368 KITopen-ID: 1000035536 |
| Verlag | Karlsruher Institut für Technologie (KIT) |
| Art der Arbeit | Dissertation |
| Fakultät | Fakultät für Mathematik (MATH) |
| Institut | Institut für Stochastik (STOCH) |
| Prüfungsdaten | 08.05.2013 |
| Schlagwörter | change point, autoregressive process, multiple structural breaks |
| Referent/Betreuer | Kirch, J. Prof. C. |