报告题目：Changepoint Detection in Complex Models: Cross-Fitting Is Needed

报告时间：2024-11-25   15:30-17:00

报 告 人：王光辉  副教授（南开大学）

报告地点：数学院二楼报告厅

Abstract: Changepoint detection is commonly approached by minimizing the sum of in-sample losses to quantify the model's overall fit across distinct data segments. However, we observe that flexible modeling techniques, particularly those involving hyperparameter tuning or model selection, often lead to inaccurate changepoint estimation due to biases that distort the target of in-sample loss minimization. To mitigate this issue, we propose a novel cross-fitting methodology that incorporates out-of-sample loss evaluations using independent samples separate from those used for model fitting. This approach ensures consistent changepoint estimation, contingent solely upon the models' predictive accuracy across nearly homogeneous data segments. Extensive numerical experiments demonstrate that our proposed cross-fitting strategy significantly enhances the reliability and adaptability of changepoint detection in complex scenarios.