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Optimal Change Point Detection and Localisation

Dr Yi Yu University of Bristol

Date:17 April 2019, Wednesday

Location:S16-06-118, Seminar Room

Time:03:00pm - 04:00pm

 

This talk will be a combination of 4 papers. I will start from the best-studied univariate mean change point detection problem [1], which serves as a blueprint for more complex settings, and then talk about high-dimensional covariance [2], sparse dynamic networks [3] and distribution functions (ongoing project) change point detection problems. I will show the phase transitions, minimax optimality and binary segmentation type algorithms in all settings. To conclude the talk, I will talk about the penalisation techniques used in the change point detection problem and the limitations thereof.