State Space Variance Ratio (SSVR) Test for Sequential Change Point Detection

Mathematical Biology Seminar
Friday, September 29, 2023 - 3:00pm for 1 hour (actually 50 minutes)
Skiles 005
Vanja Dukic – University of Colorado - Boulder –
Brandon Legried

This talk will present a new online algorithm for sequential detection of change points in state-space models. The algorithm is computationally fast, and sensitive to changes in model parameters (including observation and evolution variances), as well as model structure. We consider change point detection in a sequential way, when observations are received one by one, or in batches, with a (possibly soft) restart after each detected change point. We provide the theoretical foundation of the algorithm, and study its performance in different state space models used to model the growth of epidemics over time, using simulated data and the recent COVID-19 dataset.  This work is joint work with Ruyu Tan.

This seminar is in a Hybrid format.  The in-person version is on campus at Georgia Tech in Skiles 005.  The virtual version will be at: