報告題目：Joint test for mean and variance change-points in long-memory time series
報 告 人：陳占壽 教授 青海師範大學
報告時間：2024 年 8 月 4 日上午9:00-10:00
報告地點：數學樓第二報告廳
校内聯系人：朱複康 fzhu@jlu.edu.cn
報告摘要：In this talk, we propose two self-normalized statistics to jointly test the mean and variance change-points in long-memory time series. Under the null hypothesis that the series is a stationary long-memory process, we demonstrate that our test statistics converge to nondegenerate distributions. We derive the limit distributions of the two test statistics under three alternative hypotheses that the series has mean and variance change-points at different locations. The proposed test statistics perform well with finite samples in simulations. Moreover, we can distinguish whether a detected change-point is a mean or variance change-point, or if the mean and variance have changed together. We illustrate our tests through the analysis of two real datasets: the annual discharge volume of the Nile River, and the closing-price data of International Business Machines (IBM) common stock.
報告人簡介：陳占壽，青海師範大學研究生院副院長，教授，博導，青海省統計學會副會長，入選青海省昆侖英才教學名師，青海省高校拔尖學科帶頭人等多個省級人才稱号，曾訪問加拿大英屬各類比亞大學和中科院系統所；主要從事時間序列變點分析，小域估計、模型平均等方面的研究工作，先後主持國家自然科學基金3項，青海省自然科學基金6項；發表科研論文60餘篇，出版學術專著1部，獲青海省自然科學獎三等獎1項。
