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(7月7日)Long-Range Dependent Curve Time Series
来源: 陈黎   发布时间:2017-6-16   阅读次数:222

报告人:Degui Li, University of York

报告时间:20177710:00-11:00

报告地点:工商管理楼报告厅200-9

 

题目:Title: Long-Range Dependent Curve Time Series

 

摘要: We introduce methods and theory for functional time series with long-range dependence. The temporal sum of the curve process is shown to be asymptotically normally distributed. We show that the conditions for this cover a functional version of fractionally integrated autoregressive moving averages. We also construct an estimate of the long-run covariance function, which we use, via functional principal component analysis, in estimating the orthonormal functions spanning the dominant sub-space of the curves. In a more general, semiparametric context, we propose an estimate of the memory parameter, and derive its consistency result. A Monte-Carlo study of finite-sample performance is included, along with two empirical applications. The first of these finds a degree of stability and persistence in intra-day stock returns. The second finds similarity in the extent of long memory in age-specific fertility rates across some developed countries. This is a joint work with P. M. Robinson (LSE) and H. Shang (ANU).

 

联系人:庞天晓

 

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