張文豹先生講座
贊助單位：財團法人張文豹文教基金會
張文豹先生講座 (Keynote speech)
圖書資訊大樓2F國際會議廳
主持人:銀慶剛 (中央研究院統計科學研究所)
主講人:陳毅恆 (香港中文大學統計學系)
11:00-12:00
On recent developments of nonstationary and long-memory time series
Abstract
This talk aims at surveying some of the recent developments of nonstationary and long-memory time series.
The underlying theme of recent endeavour arises from the consideration of the order of magnitude of the observed Fisher's information number.
By means of a simple AR(1) model, the so-called “SNoTE”, it is shown how this number affects the nonstationary behaviour in a subtle and important way.
The talk concludes with the discussion of some of the recent results involving negative moment bounds of the observed Fishers' information number
and their applications to multi-step ahead predictions.
| 張文豹先生講座 (Keynote speech) | 圖書資訊大樓2F國際會議廳 | ||||
| 主持人:銀慶剛 (中央研究院統計科學研究所) | |||||
| 主講人:陳毅恆 (香港中文大學統計學系) | |||||
| 11:00-12:00 On recent developments of nonstationary and long-memory time series | |||||
Abstract
This talk aims at surveying some of the recent developments of nonstationary and long-memory time series. The underlying theme of recent endeavour arises from the consideration of the order of magnitude of the observed Fisher's information number. By means of a simple AR(1) model, the so-called “SNoTE”, it is shown how this number affects the nonstationary behaviour in a subtle and important way. The talk concludes with the discussion of some of the recent results involving negative moment bounds of the observed Fishers' information number and their applications to multi-step ahead predictions.