商务统计与经济计量系学术报告（201225）

题 目：Change-point Methodology and Applications

报告人：Professor Tze Leung Lai（Stanford University）

时 间： 2012-11-20(星期二)晚上19:30-21:00

地 点：伟易博新楼109课堂

Abstract: The title of this talk is the same as that of a book, currently being written with Haipeng Xing, that is scheduled to be published by Chapman& Hall in 2014. We give an introduction to some of the topics covered in the book, ranging from sequential change-point detection and its applications in quality control and fault detection, to fixed sample change-point methods and their applications to biology and econometrics. A unified theory is presented to integrate sequential and fixed sample detection problems. We then describe a new approach that we recently developed to tackle multiple change-points, which we have applied to model copy number variations in cancer studies and volatility jumps in asset returns.