[Ml-stat-talks] Fwd: Wilks Statistics Seminar: Richard Samworth, Friday, April 7, 2017 12:30 PM, Sherrerd Hall 101

Barbara Engelhardt bee at princeton.edu
Mon Apr 3 11:34:12 EDT 2017

Talk of interest.

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***   Wilks Statistics Seminar   ***

DATE:  Friday, April 7, 2017

TIME:   12:30 pm

LOCATION:   Sherrerd Hall 101

SPEAKER:  Richard Samworth, University of Cambridge

TITLE:   High-dimensional Changepoint Estimation via Sparse Projection

ABSTRACT:  Changepoints are a very common feature of Big Data that arrive
in the form of a data stream. In this talk, we study high-dimensional time
series in which, at certain time points, the mean structure changes in a
sparse subset of the coordinates. The challenge is to borrow strength
across the coordinates in order to detect smaller changes than could be
observed in any individual component series. We propose a two-stage
procedure called 'inspect' for estimation of the changepoints: first, we
argue that a good projection direction can be obtained as the leading left
singular vector of the matrix that solves a convex optimisation problem
derived from the CUSUM transformation of the time series. We then apply an
existing univariate changepoint detection algorithm to the projected
series. Our theory provides strong guarantees on both the number of
estimated changepoints and the rates of convergence of their locations, and
our numerical studies validate its highly competitive empirical performance
for a wide range of data generating mechanisms.
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