Seminar on Probability and Statistics

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Date, time & place Tuesday 13:00 - 14:10 Room #052 (Graduate School of Math. Sci. Bldg.)

2018/02/04

12:00-18:00   Room #118 (Graduate School of Math. Sci. Bldg.)
Yukai Yang (Uppsala University) 12:30-15:00
Nonlinear Economic Time Series Models

[ Abstract ]
The lecture goes through several chapters in the book “Modelling Nonlinear Economic Time Series” by Teräsvirta, Tjøstheim and Granger in 2010. The lecture serves as an introduction for the students and researchers who are interested in this area. It introduces a number of examples of families of nonlinear time series parametric models in economic theory. It also talks about testing linearity against parametric alternatives with the presence of a characterization of the identification problem in many situations. Different ways of solving the identification problem are presented and their merits and disadvantages are discussed.
Yuliia Mishura (The Taras Shevchenko National University of Kiev ) 15:30-18:00
Analytic, representation and statistical aspects related to fractional Gaussian processes.

[ Abstract ]
We consider the properties of fractional Gaussian processes whose covariance function is situated between two self-similarities, or, in other words, these processes belong to the generalized quasi-helix, according to geometric terminology of Kahane. For such processes we consider the two-sided bounds for maximal functionals and the representation results. We consider stochastic differential equations involving fractional Brownian motion and present also several results on statistical estimations for them.