SEMINARS
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Spring 2009
STATISTICS
COLLOQUIUM
Friday, April 10, 2009
2:30-3:00—Refreshments
3:00-4:00—Talk
Yost Hall, Room 101
Sreenu Konda, Ph.D.
Assistant Professor,
Department of Statistics, Temple University
Asymptotics for Time-Dependent Autoregressive Processes
A theoretical framework is proposed for the asymptotics of time-dependent autoregressive parameters' estimates. First we simplify the problem by fitting the time-dependent parameters of these nonstationary processes by local linear models and then estimate the parameters of these approximate models by the weighted least squares method. The asymptotics of the proposed estimators are derived and investigated under strong mixing conditions. A simulated example is used for illustration.
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