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Inference for Change-Point and Related Processes

Books relating to the Isaac Newton Institute ICP programme, 13 January - 7 February 2014 In many applications data is collected over time or can be ordered with respect to some other criteria (e.g. position along a chromosome). Often the statistical properties, such as mean or variance, of the data will change along data. An important and challenging problem is to be able to model and infer how these properties change. Read more at http://www.newton.ac.uk/programmes/ICP/

RS Tsay, Multivariate Time Series Analysis

J Chen and AK Gupta, Parametric Statistical Change Point Analysis

R Prado and M West, Time Series: Modeling, Computation and Inference

T Terasvirta, D Tjostheim and CWJ Granger, Modelling Nonlinear Economic Time Series