Network of Excellence on Risk Sciences - The Institute of Statistical Mathematics

Risk Analysis Research Center holds the seminar on September 6, 2013.

Date

Friday 6th September 2013, 4pm-5:30pm

Place

Seminar Room 5 (3F, D313),
The Institute of Statistical Mathematics,
10-3 Midori-cho Tachikawa, Tokyo 190-8562, Japan
Access

Speaker

Marie Huskova (Charles University, Czech Republic)

Title

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 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.