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Olivier Wintenberger, Paris Dauphine Print
Friday, 07 October 2011, 14:30 - 15:30

Olivier Wintenberger, Paris Dauphine

Detecting multiple change points using Quasi Likelihood

This talk is devoted to the off-line multiple change-point detection using the Quasi Likelihood criteria. The abstract theoretical framework is large in order to consider AR(∞), ARCH(∞), TARCH(∞),... models in one blow. A penalization is proposed in order to infer the unknown number of change points robustly with respect to the dependence of the observations.  The estimation procedure of the change points and the parameters of the model is consistent under second order moments and asymptotically normal under fourth order moments. In practice the penalization is calibrated via a new slope heuristic and the inference is done in a reasonable ($O(n^2)$) time. Simulations and an application on real data are given.

Location: Plaine, NO 9th floor - salle des profs
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