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Jan de Gooijer – ASE. KAFEE lunch seminars.

Event details of Detecting Change-points in Multidimensional Stochastic Processes
Date 19 December 2005
Time 11:15 -12:15
Location Roeterseilandcampus - building E

Jan de Gooijer – ASE

Detecting Change-points in Multidimensional Stochastic Processes

Abstract of the presentation:
Procedures for detecting changes of variances in an ordered sequence of (possibly independent) observations taken from a multidimensional stochastic process can
help to elucidate the structure of the process. For instance, it is well known that homogeneity of variance in a sequence of observations taken from a single financial risk factor does not necessarily imply a homogeneous behaviour in variance of all possible risk factors simultaneously. Hence, a univariate change-point detection procedure may well fail to reject the assumption of constant variance underlying the model fitted to each individual sequence of observations.

A general test statistic for detecting change-points in multidimensional stochastic processes with unknown parameters is proposed. The test statistic is specialised to the case of detecting changes in sequences of covariance matrices. The finite-sample properties of the test statistic are compared with two other test statistics. Using a binary segmentation procedure, the potential of the various test statistics is investigated in a multi-dimensional setting both via simulations and the analysis of a real life example.

Lunch is provided during the presentation.

More information: Cesar Ariza:

Roeterseilandcampus - building E

Roetersstraat 11
1018 WB Amsterdam