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Submitted by pscully on Fri, 10/24/2008 - 10:53.
10/30/2008 - 16:10
10/30/2008 - 17:30
STA/BST 290: Alexander Aue
Topics in autoregressive time series with random coefficients
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.