报告题目(Title)：Change Point Detection
报告人 (Speaker)： 傅承德 教授（复旦大学）
报告时间 (Time)：2021年11月4日(周四) 10：00
报告地点 (Place)：校本部G507
邀请人(Inviter)：冷岗松
报告摘要：In this talk, we study change point detection in state space models, in which the pre-change distribution fθ0is given, while the post-distribution fθafter change is unknown. The problem is to raise an alarm as soon as possible after the distribution changes from fθ0to fθ, under a restriction on the false alarms. We investigate theoretical properties of a weighted Shiryayev-Roberts-Pollak (SRP) change point detection rule in state space models, and show that it is second-order asymptotically optimal. To this end, we derive an asymptotic approximation for the expected stopping time of such a stopping scheme when the change time ω = 1. To illustrate our method we apply the results to two types of state space models: linear state space models and an epidemic model for the COVID-19 outbreak, Simulation study is given to illustrate the method.