学术报告 -- Autoregressive coefficient estimation in nonparametric analysis

2011-05-24

数学科学学院学术报告

 

报 告 人:邵琴 教授
          Department of Mathematics and Statistics,
          The University of Toledo, USA
报告题目:Autoregressive coefficient estimation in nonparametric analysis
时   间:2011年6月3日 (星期五) 上午10:30
地   点:数学楼第二报告厅
摘   要:The paper considers the Yule-Walker estimator of the autoregressive coefficient based on the observed time series that contains an unknown trend function and an autoregressive error term. The trend function is estimated by means of B-splines and then subtracted from the observations. The Yule-Walker estimator is obtained from the residual sequence. Asymptotic properties of this estimator are derived. The performance of the estimator is illustrated by simulation studies and real data analysis.

 

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