Back to Departmental Colloquium: Spring 2016
Departmental Colloquium
Date: Thursday, Feb 18, 2016
Time: 4:00PM
Location: LCB 219
Shuyang Bai
Boston University
Title |
Long memory and non-standard limit theorems |
Abstract |
In time series analysis, the notion “long memory” stands for a slow hyperbolic decay of correlation as the time lag increases. Long memory has made surprisingly frequent appearances both in nature and in human life. In statistical inference, the sample sum plays a central role. Under long memory, the sample sum behaves drastically differently compared to the “short-memory” (e.g., independent) case. In this talk, we shall introduce a class of long-memory models given by nonlinear filters of white noise. We then show how their sample sums behave in terms of the probabilistic scaling limits. These results exhibit nicely how “long” the “memory” can be kept. |
Probability