Change-Point Analysis in Nonstationary Stochastic Models

I Retrospective Problems

1 Preliminary considerations

2 General Retrospective Disorder Problem

3 Retrospective Detection and Estimation of Stochastic Trends

4 Retrospective Detection and Estimation of Switches in Univariate Models

5 Retrospective change-point detection and estimation in multivariate stochastic models

6 Retrospective Detection of Change-Points in State-Space Models

7 Copula, GARCH, and Other Financial Models

II Sequential Problems

8 Sequential hypothesis testing

9 Sequential change-point detection for univariate models

10 Sequential Change-Point Detection in Multivariate Models

11 Early change-point detection

12 Sequential Detection of Switches in Models with Changing Structures

13 Sequential detection and estimation of change-points

Bibliography

Index