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Description
  • Statistical modelling of trends and changes in time series has attracted many statisticians in the last two decades. The reason is that there is a whole spectrum of applications when data indicate trend(s) or change(s) and as a consequence it also results in a number of interesting theoretical problems.In this project we want to focus on developing techniques fot the statistical analysis in sedies of dependent data (time series), that is to detect structural breaks (change-points) in certain model assumptions via specific testing or monitoring procedures. Since data sets from applications typically do not satisfy certain assumptions of independence or identical distributions, we aim at further developing change-point methods for dependent data. The idea is to modify existing procedures, which have been developed for the independent case, to models possessing certain dependency structures, and taking these specific dependencies in the design of schemes. A further goal is to obtain corresponding theoretical results for multivariate time series, again in according to the requirements from apllications. (en)
  • Cílem je vyvinout, popř. modifikovat dříve vyvinuté statistické modely, které by co nejlépe vystihovaly trendy a změny v pozorovaných časových řadách, najít co nejslabší předpoklady, které odpovídají reálné situaci a při kterých lze odvodit teoretické statistické vlastnosti.
Title
  • Structural Breaks in Time Series (en)
  • Strukturální změny v časových řadách
skos:notation
  • GC201/09/J006
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  • statistické postupy, strukturální změny, časové řady (en)
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  • The project gone according to plan both in terms of expertise and in terms of disbursement of funds. (en)
  • Řešení projektu proběhlo podle plánu jak z hlediska odborného tak i z hlediska čerpání finančních prostředků. (cs)
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  • strukturální změny
  • statistické postupy
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