The Use of Randomness in Time Series Analysis

OMI Seminar Series


This is an exploratory talk in which we describe different potential uses of randomness in time series analysis. In the first part, we talk about Wild Binary Segmentation for change-point detection, where randomness is used as a device for sampling from the space of all possible contrasts (change-point detection statistics) in order to reduce the computational complexity from cubic to just over linear in the number of observations, without compromising on the accuracy of change-point estimates. We also discuss an interesting related measure of change-point certainty/importance, and extensions to more general nonparametric problems.


Thursday, October 23, 2014 - 16:00
to 17:00