Online Change Point Detection via Copula Based Markov Models
- 2021-11-29 (Mon.), 10:30 AM
- Auditorium, B1F, Institute of Statistical Science
- The reception will be held at 10:10 at the Auditorium, B1F of the Institute of Statistical Science Building.
- Prof. Li-Hsien Sun
- Graduate Institute of Statistics, National Central University
Abstract
The time series analysis is a critical issue in the varied fields such as finance, industry, and biology. However, due to the possibility of the structure change, the corresponding problem such as loss or damage can be expected. See the stock market during the financial crisis in 2008 and also the COVID-19 in 2020 for instance. Hence, the corresponding change point for structure change is worth to study. In order to detect the change point online for time series data or correlated date, we propose the model for online change point detection via copula based Markov models where the time serial data is described by copula based Markov model and the change point detection based on the run length distribution using the Bayesian approach. Finally, the performance of the proposed method is illustrated through numerical and empirical studies
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