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  • 统计与管理学院2016年学术报告第34期

     

    【主  题】Double-K BS Algorithm for Multiple Change-Points Detection

    【报告人】 马铁丰 教授

    西南财经大学

    【时  间】 2016年7月15日(星期五)16:00-17:00

    【地  点】 上海财经大学统计与管理学院大楼1208室

    【摘  要】The paper propose an improved algorithm, named Double-K BS algorithm, which is based on BS algorithm. And we raise a new testing statistic which is an exponential decay weighted CUSUM statistic. Conclusion Through the comparison with the main methods for multiple change-points detection, the proposed method o ers the optimal performance. Double-K BS algorithm can

    detect multiple change-points fast and accurately with a low time complexity. In addition, we apply the proposed method to scenarios reduction in electric market which obtains desired results.

    【邀请人】 柏杨