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Seminars

Simultaneous Confidence Bands in Time Series

  • 2010-09-06 (Mon.), 10:30 AM
  • Auditorium, 2F, Tsai Yuan-Pei Memorial Hall
  • Prof. Wu, Wei-Biao
  • Dept. of Statistics, University of Chicago, USA

Abstract

I will talk about statistical inference of trends in mean non-stationary models, and mean regression and conditional variance (or volatility) functions in nonlinear stochastic regression models. Simultaneous confidence bands are constructed and the coverage probabilities are shown to be asymptotically correct. The Simultaneous confidence bands are useful for model specification problems in nonlinear time series. The results are applied to environmental and financial time series.

Update:2024-12-02 21:38
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