09月18日 南开大学王光辉博士学术报告

发布时间:2020-09-15   浏览次数:15

报 告 人:王光辉 博士(南开大学)

报告题目:Change-Point Detection by Order-Preserving-Splitting Methods  

报告时间:2020年9月18日(周五下午6:00 )

报告地点:网投十大信誉排行榜学术报告厅(静远楼1506室)

王光辉博士简介:

2018年博士毕业于南开大学后任职于南开大学统计与数据科学学院。研究方向为变点分析和高维数据统计推断。在Ann. Statist.和J. Multivariate Anal.等统计学期刊发表多篇论文。

报告摘要:In multiple change-point analysis, one of the major challenges is to estimate the number of change-points. Most existing approaches attempt to minimize a Schwarz information criterion which balances a term quantifying model fit with a penalization term accounting for model complexity that increases with the number of change-points and limits overfitting. However, different penalization terms are required to adapt to different contexts of multiple change-point problems and the optimal penalization magnitude usually varies from the model and error distribution. We propose a data-driven selection criterion that is applicable to most kinds of popular change-point detection methods, including binary segmentation and optimal partitioning algorithms. The key idea is to select the number of change-points that minimizes the squared prediction error, which measures the fit of a specified model for a new sample. We develop a cross-validation estimation scheme based on an order-preserved sample-splitting strategy, and establish its asymptotic selection consistency under some mild conditions. Effectiveness of the proposed selection criterion is demonstrated on a variety of numerical experiments and real-data examples.