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Project C3: Analysis of structural change in dynamic processes

Project leaders

Herold Dehling

Roland Fried

 

    

 

Abstract

This project considers structural changes in statistical models for time series and regression 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.