標(biāo)題：Joint test for mean and variance change-points in long-memory time series
報(bào)告時(shí)間：2024年08月01日（星期四）16:20-17:20
報(bào)告地點(diǎn)：人民大街校區(qū)惟真樓523會(huì)議室
主講人：陳占?jí)?/p>
主辦單位：數(shù)學(xué)與統(tǒng)計(jì)學(xué)院
報(bào)告內(nèi)容簡(jiǎn)介：
Abstract: In this talk, We propose two self-normalized statistics to jointly test the mean and variance change-points in long-memory time series. Under the null hypothesis that the series is a stationary long-memory process, we demonstrate that our test statistics converge to nondegenerate distributions. We derive the limit distributions of the two test statistics under three alternative hypotheses that the series has mean and variance change-points at different locations. The proposed test statistics perform well with finite samples in simulations. Moreover, we can distinguish whether a detected change-point is a mean or variance change-point, or if the mean and variance have changed together. We illustrate our tests through the analysis of two real datasets: the annual discharge volume of the Nile River, and the closing-price data of International Business Machines (IBM) common stock.
主講人簡(jiǎn)介：
陳占?jí)?，青海師范大學(xué)研究生院副院長(zhǎng)，教授，博導(dǎo)，青海省統(tǒng)計(jì)學(xué)會(huì)副會(huì)長(zhǎng)，入選青海省昆侖英才教學(xué)名師，青海省高校拔尖學(xué)科帶頭人等多個(gè)省級(jí)人才稱(chēng)號(hào)，曾訪(fǎng)問(wèn)加拿大英屬各類(lèi)比亞大學(xué)和中科院系統(tǒng)所；主要從事時(shí)間序列變點(diǎn)分析，小域估計(jì)、模型平均等方面的研究工作，先后主持國(guó)家自然科學(xué)基金3項(xiàng)，青海省自然科學(xué)基金6項(xiàng)；發(fā)表科研論文60余篇，出版學(xué)術(shù)專(zhuān)著1部，獲青海省自然科學(xué)獎(jiǎng)三等獎(jiǎng)1項(xiàng)。
