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Director

Prof. Dr. Walter Krämer 

+49 231 755 - 3125

walterk@statistik.tu-dortmund.de

 

Executive office, management

Thorsten Ziebach

+49 231 755 - 3122

thorsten.ziebach@udo.edu

 

Project C3: Analysis of structural change in dynamic processes

Project leaders

Herold Dehling

Roland Fried

 

    

 

Abstract

Project C3 is concerned with structural changes in statistical models for time series and regression analysis. Our objective is to develop and investigate methods for the detection of abrupt changes like level shifts, trend changes, and changes of the correlation structure under weak assumptions, taking into account that real data are often characterized by heavy tailed error distributions, heteroscedasticity and long memory, and moreover they often contain measurement artefacts. We aim at the identification of strengths and weaknesses of procedures for change-point detection and finding methods which work reliably under general conditions.