THURSDAY, October 30th, 2008 at 4.10pm,
MSB 1147 (Colloquium Room)
Refreshments: 3.30pm, MSB 4110 (Statistics
Lounge)
Speaker: Alexander Aue (Dept of Statistics, UC Davis)
Title: Topics
in autoregressive time series with random coefficients
Abstract:
Autoregressive processes
with random coefficients (RCA processes) have long been studied in the
nonlinear time series literature and have found applications in econometrics
and biology, among others. In the first part of this talk, we explore the connection
to ordinary AR processes and review results describing the structure of RCA
processes such as conditions for stationary solutions and finiteness of
moments. In a second part, we discuss statistical inference techniques to
estimate the unknown parameters of an RCA process. Particular emphasis will be
given to a unified quasi-likelihood estimation theory that, perhaps
surprisingly, works in both the stationary and nonstationary case.
