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Robust Retrospective Multiple Change-point Estimation for Multivariate Data
Change-point estimation multivariate data Kruskal-Wallis test robust statistics joint segmentation
2011/3/18
We propose a non-parametric statistical procedure for detecting multiple change-points in multidimensional signals. The method is based on a test statistic that generalizes the well-known Kruskal-Wall...
Change point estimation for the telegraph process observed at discrete times
discrete observations change point problem volatility regime switch telegraph process
2010/4/29
The telegraph process models a random motion with finite velocity and
it is usually proposed as an alternative to diffusion models. The process
describes the position of a particle moving on the rea...