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Analysis of structural change in dynamic processes (C03)

Subject Area Mathematics
Term from 2009 to 2021
Project identifier Deutsche Forschungsgemeinschaft (DFG) - Project number 68236791
 
This project considers structural changes in statistical models for time series and regres¬sion analysis. It improves upon existing methods for the detection of abrupt changes in levels, trend, and in the correlation structure under weak assumptions. In particular, it allows for heavy tails, heteroscedasticity and long memory, and develops procedures for change-point detection which work reliably under rather general conditions.
DFG Programme Collaborative Research Centres
Applicant Institution Technische Universität Dortmund
 
 

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