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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Multiscale MOSUM procedure with localised pruning

Presented by Haeran Cho, University of Bristol

10 May 2018 16:00 in CM221

In this work, we investigate the problem of multiple change-point detection where the changes occur in the mean of univariate data. The proposed localised pruning methodology is applicable when conflicting change-point estimates are returned with the information about the local interval in which they are detected. We study the theoretical consistency of the localised pruning in combination with the multiscale extension of the MOving SUM (MOSUM) procedure Eichinger and Kirch (2018). Extensive simulation studies show the computational efficiency and good finite sample performance of the combined methodology, which is available as an R package 'mosum'.

This is joint work with Claudia Kirch (OvGU Magdeburg).

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