Three Approaches to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models
- 2001-11-28 (Wed.), 10:30 AM
- 二樓交誼廳
- Professor Tanaka Katsuto 田中勝人
- Hitotsubashi University Japan日本一橋大學
Abstract
Dealing with nonstandard statistics arising from nonstationary and/ or Noninvertible time series models, I discuss how to establish weak convergence results and how to compute limiting distributions. To this end I consider three approaches which I call the eigenvalue approach, the stochastic approach and the Fredholm approach, indicating the advantage and disadvantage of each approach for judicious use.
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