学术沙龙主题: Monitoring parameter change-points in lagged dependent regression models

报告人: 陈占寿，青海师范大学教授

报告时间: 2025年4月19日(周六)；下午2:00—3:30

报告地点：南校区网络安全大楼 121 会议室

邀请人：李本崇

报告人简介：陈占寿，青海师范大学研究生院院长，教授，博导，青海省统计学会副会长，入选青海省昆仑英才教学名师，青海省高校拔尖学科带头人等多个省级人才称号，曾访问加拿大英属各类比亚大学和中科院系统所各1年；主要从事时间序列变点分析，小域估计、模型平均等方面的研究工作，先后主持国家自然科学基金3项，青海省自然科学基金6项；发表科研论文60余篇，出版学术专著1部，获青海省自然科学奖三等奖1项。

报告摘要: This study addresses the change-point monitoring problem in time-dependent linear regression models, which incorporate autoregressive terms in both the response variable and the residuals. We propose a vector-valued CUSUM statistic based on the adaptive LASSO (ALASSO) algorithm to detect changes for the regression coefficients in the model. For the proposed test statistic, we establish the asymptotic distribution under the null hypothesis and demonstrate its divergence under alternatives. Through simulations, we show that our method significantly outperforms the classical CUSUM-based methods in terms of detection power and average run length, particularly when dealing with autocorrelated structures. Finally, we apply our monitoring procedure to a real data set to illustrate its effectiveness.