2 papers
math.ST2019
A new approach for open-end sequential change point monitoring
Josua Gösmann, Tobias Kley, Holger Dette
We propose a new sequential monitoring scheme for changes in the parameters of a multivariate time series. In contrast to procedures proposed in the literature which compare an est…
stat.ME2018
Model assessment for time series dynamics using copula spectral densities: a graphical tool
Stefan Birr, Tobias Kley, Stanislav Volgushev
Finding parametric models that accurately describe the dependence structure of observed data is a central task in the analysis of time series. Classical frequency domain methods pr…