Related papers: Change point estimation for the telegraph process …
Change-point detection and estimation procedures have been widely developed in the literature. However, commonly used approaches in change-point analysis have mainly been focusing on detecting change-points within an entire time series…
Variable-intensity astronomical sources are the result of complex and often extreme physical processes. Abrupt changes in source intensity are typically accompanied by equally sudden spectral shifts, i.e., sudden changes in the wavelength…
The problem of finding the expected value of a statistic of a locally stable point process in a bounded region is addressed. We propose an adaptive importance sampling for solving the problem. In our proposal, we restrict the importance…
We consider together the retrospective and the sequential change-point detection in a general class of integer-valued time series. The conditional mean of the process depends on a parameter $\theta^*$ which may change over time. We propose…
The problem of parameter estimation by i.i.d. observations of an inhomogeneous Poisson process is considered in situation of misspecification. The model is that of a Poissonian signal observed in presence of a homogeneous Poissonian noise.…
We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion…
In this paper we consider the problem of detecting a change in the parameters of an autoregressive process, where the moments of the innovation process do not necessarily exist. An empirical likelihood ratio test for the existence of a…
Although introduced in the case of Poisson random measures, the lent particle method applies as well in other situations. We study here the case of marked point processes. In this case the Malliavin calculus (here in the sense of Dirichlet…
We investigate the one-dimensional telegraph random process in the presence of an elastic boundary at the origin. This process describes a finite-velocity random motion that alternates between two possible directions of motion (positive or…
In this paper we study the joint distributions of the telegraph process and its maximum conditioned on the number of changes of direction and the initial velocity. We prove that in the case of positive starting velocity, a form of the…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are (approximately) constant for some time and then slowly start…
Change-point analysis has been successfully applied to the detect changes in multivariate data streams over time. In many applications, when data are observed over a graph/network, change does not occur simultaneously but instead spread…
We consider the detection and localization of change points in the distribution of an offline sequence of observations. Based on a nonparametric framework that uses a similarity graph among observations, we propose new test statistics when…
We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields…
Motivated by an example from remote sensing of gas emission sources, we derive two novel change point procedures for multivariate time series where, in contrast to classical change point literature, the changes are not required to be…
Change-point models are widely used by statisticians to model drastic changes in the pattern of observed data. Least squares/maximum likelihood based estimation of change-points leads to curious asymptotic phenomena. When the change-point…
The convergence of a sequence of point processes with dependent points, defined by a symmetric function of iid high-dimensional random vectors, to a Poisson random measure is proved. This also implies the convergence of the joint…
We consider the nonparametric estimation of the intensity function of a Poisson point process in a circular model from indirect observations $N_1,\ldots,N_n$. These observations emerge from hidden point process realizations with the target…
We consider an estimator for the location of a shift in the mean of long-range dependent sequences. The estimation is based on the two-sample Wilcoxon statistic. Consistency and the rate of convergence for the estimated change point are…
We present a review of some recent results on estimation of location parameter for several models of observations with cusp-type singularity at the change point. We suppose that the cusp-type models fit better to the real phenomena…