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東海大學統計學系---【學術演講公告】110年11月30日(二)

【學術演講公告】110年11月30日(二)

  • 單位 : 統計學系
  • 分類 :
  • 點閱 : 216
  • 日期 : 2021-11-23
時  間:110年11月30日(星期二下午14:10~15:00)
地  點:管理學院新大樓M242
主講人:孫立憲 教授 (中央大學 統計研究所)
講  題:Online Change Point Detection via Copula Based Markov Models

Abstract
The time series analysis is a critical issue in the varied fields such as finance, industry, and biology. However, due to the possibility of the structure change, the corresponding problem such as loss or damage can be expected. See the stock market during the financial crisis in 2008 and also the COVID-19 in 2020 for instance. Hence, the corresponding change point for structure change is worth to study. In order to detect the change point online for time series data or correlated date, we propose the model for online change point detection via copula based Markov models where the time serial data is described by copula based Markov model and the change point detection based on the run length distribution using the Bayesian approach. Finally, the performance of the proposed method is illustrated through numerical and empirical studies.