当前位置:首页 > 学术交流 打印页面】【关闭
3月29日复旦大学统计学系系主任张新生来我院讲座预告
( 来源:   发布日期:2021-03-24 阅读:次)

讲座主题:A Unified Data-adaptive Framework for High Dimensional Change Point Detection
主讲人:张新生
讲座时间:2021.3.29  930-1030
地点:综合楼650
主讲人简介:  

       复旦大学统计学系系主任,博士生导师。现担任中国概率统计学会第十一届常务理事,曾任上海市数学会第十一届理事会常务理事、中国现场统计研究会生存分析分会副理事长、教育部高等学校数学与统计学教学指导委员会统计学专业教学指导分委员会委员。主要研究方向为:高维数据的统计推断、过程统计、随机过程及其应用等。在JRSSB、中国科学等国内外权威期刊上发表学术论文60余篇。

 讲座摘要:

  In recent years, change point detection for high dimensional data sequence has become increasingly important in many scientific fields such as biology and finance. The existing literature develops a variety of methods designed for either a specified parameter (e.g. mean or covariance) or a particular alternative pattern (sparse or dense), but not for both scenarios simultaneously. To overcome this limitation, we provide a general framework for developing tests suitable for a large class of parameters, and also adaptive to various alternative scenarios. In particular, by generalizing the classical cumulative sum (CUSUM) statistic, we construct U-statistic based the CUSUM matrix C. Two cases corresponding to common or different change point locations across the components are considered. We then propose two types of individual test statistics by aggregating C based on the adjusted Lp-norm with p ∈ {1, · · · , ∞}. Combining the corresponding individual tests, we construct two types of data-adaptive tests for the two cases, which are both powerful under various alternative patterns. A multiplier bootstrap method is introduced for approximating the proposed test statistics’ limiting distributions. With flexible dependence structure across coordinates and mild moment conditions, we show the optimality of our methods theoretically in terms of size and power by allowing the dimension d and the number of parameters q being much larger than the sample size n. Extensive simulation studies provide further support for our theory. An application to the S&P 100 dataset also demonstrates the usefulness of our proposed methods.  [This is joint work with Bin Liu, Cheng Zhou and Yufeng Liu]


上一条: 没有了
下一条: 没有了