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
