Wei Ning

Bowling Green State University
, Online - Zoom

Abstract

Sequential Change Point Detection Procedure for High-Dimensional Data via SCAD Penalty

In this talk, we propose a test statistic to monitor the structural change in the SCAD penalized regression model for high-dimensional data sequentially. The asymptotic properties of the proposed test statistics are established. Simulations are conducted to evaluate the performance of the proposed method. The proposed method is applied to the gene expression in the mammalian eye data to illustrate the detection procedure.