Project Details
Projekt
Analysis of structural change in dynamic processes (C03)
Subject Area
Mathematics
Term
from 2009 to 2021
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 68236791
This project considers structural changes in statistical models for time series and regres¬sion 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.
DFG Programme
Collaborative Research Centres
Applicant Institution
Technische Universität Dortmund
Project Heads
Professor Dr. Herold Dehling; Professor Dr. Roland Fried
