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  • 统计与管理学院2017年学术报告第8

     

    【主  题】Change Point Analysis in Quantile Regression

    【报告人】 张立文, Ph.D.

    上海大学

    【时  间】 2017年03月20日(星期一)08:30-09:30

    【地  点】 上海财经大学统计与管理学院大楼1208室

    【摘  要】We develop a new procedure for testing change points due to a covariate threshold in regression quantiles. The proposed test is based on the CUSUM of the subgradient of the quantile objective function and requires fitting the model only under the null hypothesis. The critical values can be obtained by simulating the Gaussian process that characterizes the limiting distribution of the test statistic. The proposed method can be used to detect change points at a single quantile level or across multiple quantiles, and can accommodate both homoscedastic and heteroscedastic errors. The performance of the proposed method is then illustrated by the some simulation studies and a real data analysis. Futhermore, we give a brief introduction about the future work on the change point analysis.

    【邀请人】 冯兴东