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Workshop “Frontiers of High Dimensional Statistics, Optimization, and Econometrics”
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[Multi-scale change point detection] А. Л. Суворикова, N. Buzun Московский физико-технический институт (государственный университет), г. Долгопрудный Московской обл. |
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Аннотация: The general change-point problem arises in many fields of research, e.g bioinformatics, econometrics, computer science and may others. It is the cornerstone of detection of homogeneous regions in observed data. This work presents a new approach of change-point detection, based on the idea of data analysis in a multi-scale rolling window. Decision about existence of a change point is made using critical values computed from the data: threshold tuning is carried out using multiplier bootstrap procedure for multiple testing. $$$$ This allows algorithm to be applied even if the nature of random process under consideration is not known. Язык доклада: английский |
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