リスク科学NOE - 統計数理研究所 NOE形成事業

　
2013年9月6日(金)、統計数理研究所3階セミナー室5(D313室)にて、チェコ・カレル大学のMarie Huskova 教授をお招きし、セミナーを開催します。
Marie Huskova 教授はノンパラメトリック、変化点問題の理論研究で有名な女性研究者です。
アブストラクトは、下記ご案内をご覧ください。
連合大会直前のお忙しい時期とは存じますが、多くの方々のご参加をお待ちします。
なお、本セミナーは統計数理研究所リスク科学NOEの主催であり、三浦良造氏（統数研思考院）の尽力により実現したものです。

日時

9月6日（金）16時00分-17時30分

場所

統計数理研究所 3階 セミナー室5 (D313)

講演者

Marie Huskova (チェコ・カレル大学)

演題

Change Point Analysis: Robust and Rank Based Procedures and Applications

Abstract

Change point analysis concerns procedures on stability of statistical models. The basic scheme can be formulated as follows: a sequence of observations $Y_1,\dots,Y_n$ obtained at the ordered time points $t_1<\dots<t_n$ such that the first $m$ observations follow a certain statistical model and after the $m$-th observation the model changes and the remaining $n-m$ observations follow another model. The point $m$ is unknown and is called change point. The problems are to detect changes (to test $H_0$: no change vs. $H_1$: there is a change), to identify the location of such a change (estimate $m$) and estimate model before and after a change $m$.
There are numerous applications in meteorology, climatology, hydrology or environmental studies, econometric time series, statistical quality control among others.
After an introduction the talk will focus on robust and rank based procedures for detection of changes. Their description will be accompanied by theoretical properties and simulation results.
The last part of the talk will concern robust sequential procedures for detection of changes in Capital Assets Pricing Model (CAPM). Theoretical results together with an application to real data set will be presented.