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SUMMARY:Detecting smooth changes in locally stationary processes - Vogt\, 
 M (University of Konstanz)
DTSTART:20140114T093000Z
DTEND:20140114T100000Z
UID:TALK49859@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:In a wide range of time series applications\, the stochastic p
 roperties of the data change over time. It is often realistic to assume th
 at the properties are approximately the same over short time periods and t
 hen gradually start to vary. This behaviour is well modelled by locally st
 ationary processes. In this talk\, we investigate the question how to esti
 mate time spans where the stochastic features of a locally stationary time
  series are the same. We set up a general method which allows to deal with
  a wide variety of features including the mean\, covariances\, higher mome
 nts and the distribution of the time series under consideration.\n
LOCATION:Seminar Room 1\, Newton Institute
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