主 题: | CLT for Largest Eigenvalues and Unit Root Tests for High Dimensional Nonstationary Time Series |
内容简介: |
This talk is about both the convergence in probability and the asymptotic joint distribution of the first k largest eigenvalues of sample covariance matrices when data are nonstationary. As an application, a new unit root test for a vector of high dimensional time series is proposed and then studied both theoretically and numerically.
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报告人: | 潘光明 教授
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时 间: | 2017-06-05 13:30 |
地 点: | 竞慧东楼302室 |
举办单位: | 理学院、统计科学与大数据研究院 |