Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
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Daily Overview |
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Inference in Wasserstein Spaces and Optimal Transport Location: 0.004 Session Chair: Ansgar Steland | |
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Sliced-Wasserstein distance based change detection with sequential empirical processes 1: University of Bamberg; 2: RWTH Aachen University; 3: Delft University of Technology We study the problem of detecting changes in the marginal distributions of a multivariate time series with a novel CUSUM-type detector statistic based on the (maximum-) sliced-Wasserstein distance. This projection-based approach has two appealing properties. Firstly, unlike the family of Wasserstein distances, it does not suffer from the curse of dimensionality. And secondly, by means of the Kantorovich duality, asymptotic properties of the so-defined detector statistic can be derived from results for (sequential) empirical processes for nonstationary time series. This talk presents new weak limit theorems for sequential empirical processes under the functional dependence measure and their application to the given testing problem. Practical implications, limitations and possible extensions are discussed. | |
