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Change-point detection and analysis

Presented by: 
D Siegmund Stanford University
Date: 
Monday 13th January 2014 - 14:00 to 15:00
Venue: 
INI Seminar Room 1
Abstract: 
Change-point detection had its origins almost sixty years ago in the work of Page, Shiryayev, and Lorden, who focused on sequential detection of a change-point in an observed process. The observations were typically regarded as measurements of the quality of a continuous production process, and the change-point indicated a deterioration in quality that must be detected and corrected. Recent applications, especially in genetics and in fMRI analysis, have led to a variety of new fixed sample change-point problems and other problems of local signal detection having the same essential structure. In this talk I will review this history and common features of likelihood based approaches.
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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons