Change-Point Problems

23 Dec 2011 14:48

Suppose you have a time series which has some (stochastic) property you're interested in, say its expected value or its variance. You think this is usually constant, but that if it does change, it does so abruptly. You would like to know if and when it changes, and perhaps to localize the time when it did. You now have a change-point problem.

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