CLT for Largest Eigenvalues and Unit Root Tests for High Dimensional Nonstationary Time Series-潘光明 (南洋理工大学)
CLT for Largest Eigenvalues and Unit Root Tests for High Dimensional Nonstationary Time Series-潘光明 (南洋理工大学)
发布时间:2017-06-01 浏览次数:

 

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.

 

报告人:
潘光明
      
教授

 

 

 

 

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