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