Statistics and Data Science Seminar
Weibiao Wu
University of Chicago
Construction of Simultaneous Confidence Bands in Time Series
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 data-sets.
Wednesday November 28, 2007 at 3:30 PM in SEO 712