全校師生：
我校定于2017年7月5日舉辦研究生靈犀學術殿堂——Richard Samworth報告會，現將有關事項通知如下：
1.報告會簡介
報告人：Richard Samworth 教授
時間：2017年7月5日（星期三） 下午14：00（開始時間）
地點： 長安校區(qū)89院之間報告廳
主題： High-dimensional Changepoint Estimation via Sparse Projection
內容簡介： Changepoints are a very common feature of Big Data that arrive in the form of a data stream. We study high-dimensional time series in which, at certain time points, the mean structure changes in a sparse subset of the coordinates. The challenge is to borrow strength across the coordinates in order to detect smaller changes than could be observed in any individual component series. We propose a two-stage procedure called‘inspect’for estimation of the changepoints: first, we argue that a good projection direction can be obtained as the leading left singular vector of the matrix that solves a convex optimization problem derived from the CUSUM transformation of the time series. We then apply an existing univariate changepoint estimation algorithm to the projected series. Our theory provides strong guarantees on both the number of estimated changepoints and the rates of convergence of their locations, and our numerical studies validate its highly competitive empirical performance for a wide range of data generating mechanisms. Software implementing the methodology is available in the R package‘InspectChangepoint’.
2.歡迎各學院師生前來聽報告。報告會期間請關閉手機或將手機調至靜音模式。
黨委研究生工作部
電子信息學院
2017年6月30日
報告人簡介
Professor of Statistics in the Statistical Laboratory from the Faculty of Mathematics at the University of Cambridge.
