UCPH Statistics Seminar: Tim Kutta

Speaker: Tim Kutta from Aarhus University

Title: Monitoring time series - what has changed?

Abstract: In this talk, we discuss the problem of sequential change point detection. In particular, we focus on sequentially testing for changes in the mean of a dependent time series relative to a training period. We consider approaches for both scalar and functional data. We highlight that, while existing procedures are reliable, they often detect changes slowly, and little progress has been made on this front in the past 20 years. We then explore how the field might move forward and obtain more useful, fast and powerful procedures, based on recent advances in stochastic process theory.