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Inference for Change-Point and Related Processes

13th January 2014 to 17th January 2014

Organisers: John Aston (Warwick), Idris Eckley (Lancaster), Paul Fearnhead (Lancaster) and Georgy Sofronov (Macquarie)

Workshop Theme

In many applications data is collected over time or can be ordered with respect to some other criteria (e.g. position along a chromosome). Often the statistical properties, such as mean or autocovariance, of the data will change across the data. This feature of data is known as non-stationarity. An important and challenging problem is to be able to model and infer how these properties change.

Two possibilities for modelling non-stationarity are change-point models and locally-stationary models. One of the goals of the workshop is to investigate and develop links between these two approaches.

This workshop will start with overview lectures that introduce change-point and locally-stationary models and approaches to inference for these models.

There are opportunities for participants to present their work as a talk or poster. If you wish to do so, please include a short abstract (max 1 page) with your application.

University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons