统计学系系列讲座之256期
时间：2017年3月28日（星期二）下午13:00—14:00
地点：史带楼302室
主持人：张新生 教授 复旦大学管理学院统计学系
主题：Group Orthogonal Greedy Algorithm for Change-point Estimation of Multivariate Time Series
主讲人：Yuanbo Li （The Chinese University of Hong Kong）
摘要：We proposes a three-step method for detecting multiple structural breaks for piecewise stationary vector autoregressive processes. The number of structural breaks can be large and unknown with the locations of the breaks being different among different components. The proposed method is established via a link between a structural break problem and a high-dimensional regression problem. By means of this connection, a group orthogonal greedy algorithm, originated from the high-dimensional variable selection context, is developed for efficient estimation of structural breaks. A high-dimensional information criterion is proposed to detect different structural breaks among different components. Consistency of the estimators is proved and Monte Carlo experiments for the finite sample performance are conducted.
统计学系
2017-3-23
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