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Special Seminar by Assoc. Prof. Dr. Georgy Sofronov

Title: Change-point detection problems

Speaker: Assoc. Prof. Dr. Georgy Sofronov

School of Mathematical and Physical Sciences Macquarie University, NSW, Australia

Date: Wed, 31 January 2024

Time: 14:00-15:00 PM

Room: M301


Change-point problems (or break point problems, disorder problems) can be considered one of the central issues of mathematical statistics, connecting asymptotic statistical theory and Monte Carlo methods, frequentist and Bayesian approaches, fixed and sequential procedures. In many real applications, observations are taken sequentially over time, or can be ordered with respect to some other criterion. The basic question, therefore, is whether the data obtained are generated by one or by many different probabilistic mechanisms. The change-point problem arises in a wide variety of fields, including bioinformatics, biomedical signal processing, speech and image processing, seismology, industry (e.g. fault detection) and financial mathematics. In this talk, I will give an overview of various approaches to change-point detection methods.