ISyE Seminar: Dr. Moshe Pollak
Title: "The Times: Are They A-Changin'?"
Abstract: We are creatures of habit. When the usual state of affairs is no longer, we want to be aware of the change. (Is there global warming? Has the incidence rate of breast cancer increased? Is there a change in the volatility of the stock market?) Unfortunately, often there is no one around to tell us that things are not what they used to be, and we have to rely on a sequence of (invariably noisy) observations to discern that things are different. Intuitively, if the behavior of "recent" observations seems "abnormal", we would be prone to declare that a change is in effect. As usual, the problem is in the details: what do "recent" and "abnormal" mean in practice? Moreover, if we are trigger-happy, there will be many false alarms; if we are too hesitant, the delay between a real change and its detection may be very costly. Subject to a constraint on the rate of false alarms, what is the best average delay (between a true change and its detection) attainable? What is a good procedure?
This talk will present a short review of the change point problem and some of its solutions. The early proposed methods turned out to be optimal in the ideal case that both pre-change and post-change distributions (of an independent sequence of observations, iid pre-change and iid post-change) are known. More recent research relaxed these assumptions. The talk will concentrate on a set of scenarios where progressively less is known about the distributions of the observations, culminating in nonparametric procedures for cases where nothing (other than independence) is assumed about the pre- and post- change distributions.
Please contact Yajun Mei (firstname.lastname@example.org) if you want to talk to the speaker.