Department seminar by Inez ZwetslootExport this event to calendar

Monday, January 17, 2022 — 7:00 PM EST

Please Note: This seminar will be given online.

Department seminar

Inez Zwetsloot
City University of Hong Kong

Link to join seminar: Hosted on Zoom

A robust method for detecting sparse changes in high-dimensional (heteroskedastic) data

Because of the curse-of-dimensionality, high-dimensional processes present challenges to traditional multivariate statistical process monitoring (SPM) techniques. In addition, the unknown underlying distribution and complicated dependency among variables such as heteroscedasticity increase uncertainty of estimated parameters, and decrease the effectiveness of control charts. In addition, the requirement of sufficient reference samples limits the application of traditional charts in high dimension low sample size scenarios (small n, large p). More difficulties appear when detecting and diagnosing abnormal behaviors that are caused by a small set of variables, i.e., sparse changes. In this talk, I will propose a change-point monitoring method to detect sparse shifts in the mean vector of high-dimensional processes. Examples from manufacturing and finance are used to illustrate the effectiveness of the proposed method in high-dimensional surveillance applications. In addition, I will introduce two industry-university collaborative projects, which form the motivation for this developed method.

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