报 告 人：王光辉 博士（南开大学）
报告题目：Change-Point Detection by Order-Preserving-Splitting Methods
报告时间：2020年9月18日（周五下午6：00 )
报告地点：江苏师范大学数学与统计学院学术报告厅（静远楼1506室）
王光辉博士简介：
2018年博士毕业于南开大学后任职于南开大学统计与数据科学学院。研究方向为变点分析和高维数据统计推断。在Ann. Statist.和J. Multivariate Anal.等统计学期刊发表多篇论文。
报告摘要：In multiple change-point analysis, one of the major challenges is to estimate the number of change-points. Most existing approaches attempt to minimize a Schwarz information criterion which balances a term quantifying model fit with a penalization term accounting for model complexity that increases with the number of change-points and limits overfitting. However, different penalization terms are required to adapt to different contexts of multiple change-point problems and the optimal penalization magnitude usually varies from the model and error distribution. We propose a data-driven selection criterion that is applicable to most kinds of popular change-point detection methods, including binary segmentation and optimal partitioning algorithms. The key idea is to select the number of change-points that minimizes the squared prediction error, which measures the fit of a specified model for a new sample. We develop a cross-validation estimation scheme based on an order-preserved sample-splitting strategy, and establish its asymptotic selection consistency under some mild conditions. Effectiveness of the proposed selection criterion is demonstrated on a variety of numerical experiments and real-data examples.