QFRM CUHK
Statistics Risk Management Science
STAT CUHK
Statistics Quantitative Finance and Risk Management Science
Risk Management Science Science Faculty
CUHK STAT
STATistics
Quantitative Finance and Risk Management Science
Distinguished Lecture
Back
Topic: Change-point Detection: Past and Present
Date: 28/05/2019
Time: 2.30 p.m. - 3:30 p.m.
Venue: Room LT6, Lady Shaw Building, The Chinese University of Hong Kong
Category: Lecture
Speaker: Professor David SIEGMUND
Details:

Abstract:

Change-point detection had its origins about sixty years ago in the work of Page, Shiryayev, and Lorden, whose focus concerned on-line detection of a change-point, i.e., an abrupt change in the distribution of a sequence of observations—representing a change in the quality of a continuous production process. More recently, motivation from a broad range of applications has led to a variety of different problems. In this talk I will start with a historical review that leads to a number of applications and common features of different likelihood based formulations of present day research.

PDF: 20190528Siegmund.pdf