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UID:DSC-14708
DTSTART;TZID=Europe/Berlin:20180719T144000
SEQUENCE:1531133183
TRANSP:OPAQUE
DTEND;TZID=Europe/Berlin:20180719T154000
URL:https://www.dresden-science-calendar.de/calendar/en/detail/14708
LOCATION:TUD Willers-Bau\, Zellescher Weg 12-1401069 Dresden
SUMMARY:Kley: Sequential detection of structural changes in irregularly obs
 erved data
CLASS:PUBLIC
DESCRIPTION:Speaker: Tobias Kley \nInstitute of Speaker: Humboldt-Universit
 ät Berlin\nTopics:\nMathematik\n Location:\n  Name: TUD Willers-Bau (WIL 
 A 124)\n  Street: Zellescher Weg 12-14\n  City: 01069 Dresden\n  Phone: \n
   Fax: \nDescription:   Online surveillance of time series is traditionall
 y done with the aim to identify changes in the marginal distribution under
  the assumption that the data between change-points is stationary and that
  new data is observed at constant frequency. In many situations of interes
 t to data analysts\, the classical approach can be too restrictive to be u
 sed unmodified. We propose a unified system for the monitoring of structur
 al changes in streams of data where we use generalised likelihood ratio-ty
 pe statistics in the sequential testing problem\, obtaining the flexibilit
 y to account for the various types of changes that are practically relevan
 t (such as\, for example\, changes in the trend of the mean). Our method i
 s applicable to sequences where new observations are allowed to arrive irr
 egularly. Early identification of changes in the trend of financial data c
 an assist to make trading more profitably. In an empirical illustration we
  apply the procedure to intra-day prices of components of the NASDAQ-100 s
 tock market index. This is joint work with Piotr Fryzlewicz (London School
  of Economics).  
DTSTAMP:20260721T014336Z
CREATED:20180627T172441Z
LAST-MODIFIED:20180709T104623Z
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