[Forum SIS] Avviso di seminario: Cardinali a DISMEQ (Dipartimento di Statististica e Metodi Quantitativi, Milano-Bicocca)

[Fulvia Pennoni]

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Dipartimento di Statistica e Metodi Quantitativi
Via Bicocca degli Arcimboldi, 8 - 20126 Milano
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“COSTATIONARY INFERENCE FOR LOCALLY STATIONARY TIME SERIES”

Alessandro Cardinali

School of Computing and Mathematics, Plymouth University
University of Plymouth

Lunedì 10 Luglio ore 14.00  Ed. U7,  2° piano,  aula 2061
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Abstract:

In this presentation we illustrate a novel inferential approach to estimate
time-varying parameters of  locally stationary time series. This 
approach is based on costationary combinations, that is, time-varying 
deterministic linear combinations of locally stationary time series that 
are second-order stationary. We first review the theory of 
costationarity and formalize a Generalised Method of Moments estimator 
for the coefficient vectors.  We then use this new framework to derive 
an estimator for the (time-varying) covariance of locally stationary 
time series and we show that the new covariance estimator is more 
efficient than classical estimators exclusively based on the 
evolutionary cross-periodogram. We confirm our theoretical findings 
through a simulation experiment. We then present a new analysis of 
financial log-returns showing that our new estimator is capable to 
highlight well known economic shocks. As a second example of our 
approach we finally discuss forecasting of locally stationary time 
series based on costationary combinations.
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Si allega la locandina

Cordiali saluti

Fulvia Pennoni


-- 
Fulvia Pennoni
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
http://www.statistica.unimib.it/utenti/pennoni/

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