Neyman Seminar - Multiscale Change Point Inference
Neyman Seminar
Mar 20, 2013, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Axel Munk, Institute for Mathematical Stochastics, University of Gottingen (Speaker)
We introduce a new estimator SMUCE (simultaneous multiscale change-point
estimator) for the change-point problem in exponential family regression. An
unknown step function is estimated by minimizing the number of change-points
over the acceptance region of a multiscale test at a level alpha. The
probability of overestimating the true number of change-points K is
controlled by the asymptotic...