The problem of determination of a change point in the properties of autoregressive sequences with unknown distribution is analysed. Two robust algorithms for the estimation of a change point when the distribution is symmetric and asymmetric are presented.

Even though most work on change-point estimation focuses on changes in the mean, changes in the variance or in the tail distribution can lead to more extreme events. In this paper, we develop a new method of detecting and estimating the change-points in the tail of multiple time series data. In addition, we adapt existing tail change-point detection methods to our specific problem and conduct a...

In this report the problem of sequential detection and estimation of change-points is considered. The sense of this problem is as follows: in practice after raising an alarm signal about a change it is often required to divide the whole obtained sequential sample into subsamples of observations before and after an unknown change-point. In this report asymptotically optimal methods are proposed ...

The problem of change point estimation is considered in a general framework where the data are generated by arbitrary unknown stationary ergodic process distributions. This means that the data may have long-range dependencies of an arbitrary form. In this context the consistent estimation of the number of change points is provably impossible. A formulation is proposed which overcomes this obsta...

In this paper a software reliability growth model (SRGM) based on non-homogenous Poisson process (NHPP) is proposed. The principal idea is to provide a SRGM which incorporates both exponentiated Weibull (EW) testing-effort function and change point. In the earlier research, it is found that the probability of fault detection is not constant. It can be changed at some point of time which is call...

We study nonparametric change-point estimation from indirect noisy observations. Focusing on the white noise convolution model, we consider two classes of functions that are smooth apart from the change-point. We establish lower bounds on the minimax risk in estimating the change-point and develop rate optimal estimation procedures. The results demonstrate that the best achievable rates of conv...