PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Manfred Denker.

Title:Covariance matrices estimation for stationary processes
Seminar:Seminar on Probability and its Application
Speaker:Wei-Biao Wu, University of Chicago
Abstract:
I will discuss estimation of covariance matrices of stationary processes. Under a short-range dependence condition for a wide class of nonlinear processes, I will show that the banded covariance matrix estimates converge in operator norm to the true covariance matrix with explicit rates of convergence. I will also consider the consistency of the estimate of the inverse covariance matrix. These results are applied to a prediction problem, and error bounds for the finite predictor coefficients are obtained. The work is joint with Mohsen Pourahmadi of TAMU.

Room Reservation Information

Room Number:MB113
Date:04 / 14 / 2009
Time:04:00pm - 04:50pm