|
Activity Number:
|
188
- Contributed Poster Presentations: Section on Nonparametric Statistics
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Monday, July 30, 2018 : 10:30 AM to 12:20 PM
|
|
Sponsor:
|
Section on Nonparametric Statistics
|
|
Abstract #329000
|
|
|
Title:
|
Multivariate Change Point Detection
|
|
Author(s):
|
Michael Messer* and Gaby Schneider
|
|
Companies:
|
Institute of Mathematics, Goethe University, Frankfurt, Germany and Institute of Mathematics, Goethe University, Frankfurt, Germany
|
|
Keywords:
|
change point detection ;
multivariate;
MOSUM;
filtered derivative
|
|
Abstract:
|
Recent ideas regarding the detection of structural breaks (change points) in sequences of events are presented. Particularly we focus on both, the detection of breaks in the expectation and breaks in the variance. For that, we aim at exploiting the joint dynamics of the empirical mean and the empirical variance in the context of moving-sum statistics. The procedure is evaluated in terms of asymptotic scenarios as well as simulation results of the joint moving-sum process.
|
Authors who are presenting talks have a * after their name.
Back to the full JSM 2018 program
|
