报告题目 (Title)：Change Point Detection
报告人 (Speaker)： 傅承德 教授（复旦大学）
报告时间 (Time)：2021年11月4日(周四) 10：00
报告地点 (Place)：校本部G507
邀请人(Inviter)：冷岗松
主办部门：理学院数学系
报告摘要：In this talk, we study change point detection in state space models, in which the pre-change distribution fθ0 is given, while the post-distribution fθ after change is unknown. The problem is to raise an alarm as soon as possible after the distribution changes from fθ0 to fθ, under a restriction on the false alarms. We investigate theoretical properties of a weighted Shiryayev-Roberts-Pollak (SRP) change point detection rule in state space models, and show that it is second-order asymptotically optimal. To this end, we derive an asymptotic approximation for the expected stopping time of such a stopping scheme when the change time ω = 1. To illustrate our method we apply the results to two types of state space models: linear state space models and an epidemic model for the COVID-19 outbreak, Simulation study is given to illustrate the method.
