Change-point detection in causal processes : Applications to the flows of the watershed of the Sanaga in Cameroon
type: Dataset
description: This thesis focuses on the change-point detection in the causal processes with applications to the flows of the watershed of the Sanaga in Cameroon. We consider a class of semi-parametric models that contains the classical causal processes such as AR, ARCH, TARCH. Chapter 1 is a summary of the works. It presents the model with examples and the main results obtained in chapters 2, 3 and 4. Chapter 2 deals with the off-line multiple changes detection using a penalized likelihood criterion. The number of breaks, the dates of breaks and the parameters of model on each segment are unknown. They are estimated by maximizing a contrast based on the quasi-likelihood and penalized by the number of breaks. We suggest a possible choice of penalty parameter and show that the estimators of the parameters of model are consistent with optimal rates. For practical applications an adaptive estimator of the penalty parameter based on the slope heuristic is proposed. A dynamic programming algorithm is used to reduce the computational cost, it is now a $\mathcal {O} (n ^ 2)$ complexity algorithm. Comparisons made with existing results show that our procedure is more stable and robust. Chapter 3 is still the off-line multiple changes detection, but here a test procedure is used. We construct a new procedure that, combined with Itereted Cumulative Sums of Squares (ICSS) type algorithm, is able to detect multiple breaks in causal processes. The test is consistent in power and the comparison with existing procedures shows that it is more powerful. In chapter 4, we study the on-line change detection in the class of semi-parametric model considered in chapters 2 and 3. A procedure based on the quasi-likelihood of the observations was developed. The procedure is consistent in power and the detection delay is better than existing ones. Chapter 5 deals with applications to the flows of the watershed of the Sanaga. The procedures described in chapters 2 and 3 were used by applying an ARMA model a…
landing page: https://theses.hal.science/tel-00695364
keyword: causal-processes
keyword: change-point-detection
keyword: convergence-faible
keyword: critere-de-vraisemblance-penalise
keyword: debits-hydrologiques
keyword: detection-de-rupture
keyword: estimateur-du-maximum-de-quasi-vraisemblance
keyword: hydrological-flows
keyword: hydrological-flows-penalized-likelihood-criterion
keyword: infoeu-reposemanticsdoctoralthesis
keyword: mathmath-stmathematics-mathstatistics-mathst
keyword: modele-semi-parametrique
keyword: penalized-likelihood-criterion
keyword: processus-causaux
keyword: quasi-likelihood-maximum-estimator
keyword: semi-parametric-model
keyword: statthstatistics-statstatistics-theory-statth
keyword: theses
keyword: weak-convergence
issued: 2026-05-19T16:10:28.093607
modified: 2026-05-19T16:10:28.093612
language: fr
contact point: Organization
  fn: CCSD

test_moissonnage_selune
type: Agent

Change-point detection in causal processes : Applications to the flows of the watershed of the Sanaga in Cameroon
type: Distribution
format: HTML
access URL: https://theses.hal.science/tel-00695364
issued: 2026-05-19T16:10:28.138840
modified: 2026-05-19T16:10:28.044558