报告题目：Testing for Change Points Due to a Covariate Threshold in Regression Quantiles

报告人：朱仲义(复旦大学统计系教授)

时间：2013年6月25日（星期二）14：30—15：30

地点：理科楼数学系A304

摘要：We develop a new procedure for testing change points due to a covariate threshold in regression quantiles.The proposed test is based on the cumsum of the subgradient of the quantile objective function and requires fitting the model only under the null hypothesis. The critical values can be obtained by simulating the Gaussian process that characterizes the limiting distribution of the test statistic.The proposed method can be used to detect change points at a single quantile level or across quantiles, and can accommodate both homoscedastic and heteroscedastic errors. Simulation results suggest that the proposed method has higher power in finite samples and higher computational efficiency than the existing likelihood-ratio-based method. A real example is given to illustrate the performances of our proposed method.（This is joint work with Liwen Zhang and Huixia Wang）

报告人介绍：朱仲义，复旦大学统计系教授，博士研究生导师；中国概率统计学会副理事长,国际著名杂志”Statistic Sinica”的Associate Editor;“应用概率统计”,”数理统计与管理”杂志编委,中国统计教材编审委员会委员。专业方向为：非参数和半参数回归模型，保险精算，稳健统计方法,风险分析等。参加过多项国家、省自然科学基金及其他省部级科研项目的研究，主持国家自然科学基金四项、国家社会科学基金一项，参与国家自然科学基金重点项目一项。自从1999年至今多次访问香港大学统计与精算学系、五次访问美国著名大学。近几年发表论文80多篇(其中SCI论文三十多篇,包括在国际顶级刊物：J.R.Stat.Soc B, J.A.S.A., Ann. Statist.和Biometrika上发表6篇)被SCI论文引用300多次。

联系人：杨瑛