Montag, 04. April 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors"

Speaker: Christopher Walsh (Univ. Vienna)

Lecture Hall 12 OMP1 (2nd Floor)
Oskar-Morgenstern-Platz 1, 1090 Vienna

Vortrag

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We study a nonparametric additive regression model that includes a periodic component, a deterministic time trend, various component functions of stationary covariates and an AR(p) error process that accounts for serial correlation in the regression error.

We propose an estimation procedure for the nonparametric component functions and the parameters of the error process based on smooth backfitting and quasi-maximum likelihood methods.

We establish convergence rates as well as the asymptotic normality of our estimators and conclude by illustrating our estimation procedure by applying it to a sample of climate and ozone data collected on the Antarctic Peninsula.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Donnerstag, 17. März 2016, 11:06
Letzte Änderung am Montag, 21. März 2016, 07:38