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吴月华教授学术报告

  发布日期:2016-05-07  浏览量:548


报告题目: Multiple change-point detection procedure via VIF regression

: 吴月华 (加拿大约克大学(York University)教授,博士生导师)

报告时间: 20165 11(周三)下午15:30-16:30

报告地点: 磬苑校区澳门赌搏网站大全H306

欢迎各位老师、同学届时前往!

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报告摘要:In this talk, we present a procedure for detecting multiple change-points in a mean-shift model, where the number of change-points is allowed to increase with the sample size. A theoretic justification for this method is also given. We first convert the change-point problem into a variable selection problem by partitioning the data sequence into several segments. Then, we apply a modified variance inflation factor regression algorithm to each segment in sequential order. When a segment that is suspected of containing a change-point is found, we use a weighted cumulative sum to test if there is indeed a change-point in this segment. The procedure is implemented in an algorithm which, compared to two popular methods via simulation studies, demonstrates satisfactory performance in terms of accuracy, stability and computation time. Real data examples are also provided.

专家概况: 吴月华,女,加拿大约克大学(York University)数学与统计系教授;1989年获得美国匹兹堡大学统计学博士学位,师从世界著名统计学家C.R. Rao。她的主要研究方向包括空间统计、M-估计、模型选择、变点检测、非参数估计、金融统计等, 以及在环境科学、信息科学、计量经济学、生物医学等领域中的应用。目前当选国际统计学会的会员(Elected member of International Statistical Institute),已在Proceedings of the National Academy of Sciences of the United States of America(美国国家科学院院刊)、Computational Statistics & Data AnalysisStatistica SinicaJournal of Multivariate AnalysisStatisticsInsurance: Mathematics and EconomicsJournal of Applied Meteorology and Climatology等重要期刊上发表许多篇高质量论文。

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