SEMINARIO DE ESTADÍSTICA

**SEMINARIO DE ESTADÍSTICA**

**Florian Heinrichs**

**RuHr Universität Bochum**

**"A new approach to detect changes in the mean of a time series"**

**Viernes, 15 de marzo, 10:30 h.**

**Sala 520, Departamento de Matemáticas**

**Resumen: When investigating the classic change point problem of one**

**single change point, the CUSUM principle is a good choice. The basic**

**idea is to compare the empirical mean of the first observations with the**

**empirical mean of the remaining ones. If the difference is big at some**

**time instance, we would derive that the mean changes over time.**

**Tests based on the CUSUM principle have been proven to be consistent**

**against a broad range of alternatives. For example, this kind of tests**

**are consistent against smooth and abrupt changes under certain**

**conditions. Contrarily to the theoretic result of consistency, in**

**applications with finite samples, the CUSUM principle may lead to little**

**power under some alternatives, like an oscillating mean function.**

**In this talk, a new approach to detect changes in the mean function of a**

**time series is introduced that is suspected to avoid the aforementioned**

**problem.**

Localización Viernes, 15 de marzo, 10:30 h. Sala 520, Departamento de Matemáticas