本系演講活動

Professor Li-Hsien Sun

Graduate Institute of Statistics,

National Central University, Taoyuan

Time:October 03, 2025(Fri.) 14:00-16:00 (GMT+8)

Venue: Business Building 706

Title: Change Point Detection and Estimation through Copula-Based Markov Chain Models

Abstract

We consider the copula based Markov Chain Models for describing the sequential data with nonlinear feature. In particular, we focus on detection for the structural change for the obtained data. The proposed problem is very important in real application such as finance, industry, and biology. In order to tackle this issue, the Bayesian online algorithm for the online change point detection and the maximum likelihood estimation (MLE) for the offline problem are provided. Furthermore, for comparison, the varied copulas including the Clayton and the Joe copulas are studied. The performance of the proposed methods is illustrated through the simulation studies and empirical studies.

Keywords: Change point, copula, Markov model, maximum likelihood, Bayesian method