数学科学院学术报告[2024] 060号

(高水平大学建设系列报告940号)

报告题目: A Change-point Method for Phase I Analysis of High-dimensional Processes with Sparse Mean Shifts

报告人：舒连杰 教授（澳门大学）

报告时间：7月2日15:30-16:30

报告地点：校友广场303　　　　　　　　　　　　　　　　　　　　　

报告内容：Although Phase I analysis of multivariate processes has been extensively discussed, the discussion on techniques for Phase I monitoring of high-dimensional processes is still limited. In high-dimensional applications, it is common to observe that a large number of components but only limited of them change at the same time. The shifted components are often sparse and unknown a priori in practice. Motivated by this, this paper studies Phase I monitoring of high-dimensional process mean vectors under an unknown sparsity level of shifts. The basic idea of the proposed control chart is to first employ the false discovery rate (FDR) procedure to estimate the sparsity level of mean shifts, and then to monitor the mean changes based on the maximum of the directional likelihood ratio (DLR) statistics over all the possible shift directions. The comparison results based on extensive simulations favor the proposed control chart. A real example is presented to illustrate the implementation of the new control chart.

报告人简历：Dr. Lianjie Shu is currently Professor in Faculty of Business Administration (FBA) at University of Macau. He received his Bachelor degree in Mechanical Engineering and Automation from Xi'an Jiao Tong University, and his Ph.D. in Industrial Engineering and Engineering Management from the Hong Kong University of Science and Technology (HKUST), respectively. Also, he currently serves an Associate Editor on Journal of Statistical Computation and Simulation. He is a senior member of Institute of Industrial and Systems Engineers (IISE) and American Society for Quality (ASQ). His recent research interests include Quantitative Finance, High-dimensional Statistics, and Statistical Quality Control. He has published more than 70 journal papers. His publications appear on a wide variety of journals such as Journal of Financial and Quantitative Analysis, Journal of Financial Econometrics, Journal of Empirical Finance, Quantitative Finance,  Technometrics, Statistica Sinica, Naval Research Logistics, IISE Transactions, etc. He won the best application paper award in the IISE Transactions 2018.

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　　　　　　　　　　　　　　　　　　　　　2024年06月29日