6月12日 | 蒋斐宇:Model-free Change-point Detection Using Modern Classifiers

发布者:钱琳发布时间:2024-06-20浏览次数:10

时    间:2024年6月12日 10:00-12:00

地    点:普陀校区理科大楼1314

报告人:蒋斐宇  复旦大学副研究员

主持人:王光辉  华东师范大学副教授

摘   要:

In contemporary data analysis, it is increasingly common to work with non-stationary complex datasets. These datasets typically extend beyond the classical low-dimensional Euclidean space, making it challenging to detect shifts in their distribution without relying on strong structural assumptions. This paper introduces a novel offline change-point detection method that leverages modern classifiers developed in the machine-learning community. With suitable data splitting, the test statistic is constructed through sequential computation of the Area Under the Curve (AUC) of a classifier, which is trained on data segments on both ends of the sequence. It is shown that the resulting AUC process attains its maxima at the true change-point location, which facilitates the change-point estimation. The proposed method is characterized by its complete nonparametric nature, significant versatility, considerable flexibility, and absence of stringent assumptions pertaining to the underlying data or any distributional shifts. Theoretically, we derive the limiting pivotal distribution of the proposed test statistic under null, as well as the asymptotic behaviors under both local and fixed alternatives. The weak consistency of the change-point estimator is provided. Extensive simulation studies and the analysis of two real-world datasets illustrate the superior performance of our approach compared to existing model-free change-point detection methods.

报告人简介:

蒋斐宇,复旦大学管理学院统计与数据科学系青年副研究员。2021年从清华大学获得统计学博士学位,现主持国家自然科学基金青年科学基金一项,上海市扬帆计划一项。主要研究领域为时间序列分析、变点分析、金融计量经济学等,研究成果发表在Biometrika, JRSSB, JOE等期刊。