Weibiao Wu : Construction of Simultaneous Confidence Bands in Time Series

Posted by , part of the Statistics and Data Science Seminar.

At

Nov. 28, 2007, 3:30 p.m.

In

SEO 712

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.