For more information about this meeting, contact Manfred Denker.
| Title: | Covariance matrices estimation for stationary processes |
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| Seminar: | Seminar on Probability and its Application |
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| Speaker: | Wei-Biao Wu, University of Chicago |
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| Abstract: |
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| 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 |
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| Date: | 04 / 14 / 2009 |
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| Time: | 04:00pm - 04:50pm |
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