[Forum SIS] seminar

[Simone Padoan]

Dear All,
We are glad to announce the following talk

*************************************************

DEC - Statistics Seminar - Università Bocconi,

Thursday, November 6th, 2014,

Room 3-E4-SR03, Via Roentgen 1 - 3rd floor

Time: 12:30pm

(The complete DEC seminars schedule is available at            
                http://www.unibocconi.eu/statseminar)
*************************************************

Speaker

Richard A. Davis 
(Columbia University NY) 

Title

"Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts"

Abstract

This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying process that evolves as a function of lagged observations. We employ an iterated random function approach and a special coupling technique to show that, under suitable conditions on the parameter space, the conditional mean process is a geometric moment contracting Markov chain and that the observation process is absolutely regular with geometrically decaying coefficients. Moreover the asymptotic theory of the maximum likelihood estimates of the parameters is established under some mild assumptions. Examples of both linear and non-linear dynamic models are presented with some illustrative numerical results.
(This is joint work with Liu, H.)




-----------------------------------------------

Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5368
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
-----------------------------------------------

-------------- parte successiva --------------
Un allegato HTML è stato rimosso...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20141030/71e066f1/attachment.html>