主题: Asymptotics of Distribution Estimation in Linear AutoregressiveModels
类型: 学术报告
主办方:
报告人: Prof. Fuxia Cheng
日期: 2018年9月25日16:00-17:00
地点: 知新楼B-1238
内容:

报告题目: Asymptotics of Distribution Estimation in Linear AutoregressiveModels

报 告 人: Prof. Fuxia Cheng (Department of Mathematics, Illinois StateUniversity)

报告时间:2018年9月25日(周二)下午 16:00-17:00

报告地点:知新楼B-1238

 

报告摘要:

For thelinear autoregressive stationary time series model, I consider estimation ofthe error distribution, including density and cumulative distribution (CDF)functions, and error variance.

For thedistribution of the error density estimator, at a fixed point, is shown to benormal. Globally, the asymptotic distribution of the maximum of a suitablynormalized deviation of the density estimator from the expectation of thekernel error density (based on the true error) is the same as in the case ofthe one sample set up, which is given in Bickel and Rosenblatt (1973). Theclassical Glivenko-Cantelli Theorem is extended to the residual based kernelsmooth CDF estimator in the autoregressive model. The asymptotic distributionof the error variance estimator is shown to be normal. And we also obtain thestrong consistency of the proposed error variance estimator.

 

报告人简介:

程福霞教授,1990年山东大学数学系本科毕业,1993获复旦大学数学系硕士学位, 1996年获清华大学应用数学博士位。 2000年获密歇根州立大学统计与概率论系硕士学位, 2002年获该系统计学博士学位。从2002年开始至今, 程福霞教授一直执教于美国伊利诺州立大学数学系. 程教授的研究兴趣领域包括:非参数与半参统计推断;时间序列分析;统计计算;生存分析;偏微分方程等。

 

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