STA 290 Seminar: Wei Biao Wu (Univ Chicago)

Statistics Colloquium: STA 290

Thursday, April 17th 2014 at 4:10pm, MSB 1147 (Colloquium Room)
Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)

Speaker: Wei Biao Wu University of Chicago

Title: "An $L^2$ Test Theory for Nonstationary Time Series”

Abstract: I will discuss testing whether the mean trend of a nonstationary time series is of certain parametric forms. A central limit theorem for the integrated squared error is derived, and with that a hypothesis-testing procedure is proposed. The method is illustrated in a simulation study, and is applied to assess the trend pattern in the central England temperature series. The work is joint with Ting Zhang.