University of Cambridge
Statistical Laboratory Seminars
Easter Term 2003
Centre for Mathematical Sciences
Wilberforce Road, Cambridge, CB3 0WB
Tel: (01223) 337958
Fax: (01223) 337956
Email: [log in to unmask]
Seminars will be held in Meeting Room 12
All interested are welcome
Friday 25 April 2003
2.00pm Andrew Harvey (Cambridge)
A unified approach to testing for stationarity and unit roots
Lagrange multiplier tests against nonstationary unobserved components such
as stochastic trends and seasonals are based on statistics which,
under the null hypothesis, have asymptotic distributions belonging to
the class of generalised Cramer-von Mises distributions. Converseley,
unit root tests can be formulated, again using the Lagrange multiplier
principle, so as to yield test statistics which also have
Cramer-von Mises distributions usnder the null hypothesis. These ideas may
be extended to multivariate models and to models with
structural breaks thereby providing a simple unified approach to testing in
nonstationary time series.
Friday 9 May 2003
2.00pm Sergei Novak (Brunel University)
On self-normalised sums and Student's statistic
The distribution of Student's statistic was studied by Fisher,
K.-L.Chung, Efron, P.Hall and other distinguished scientists. The problem
of evaluating the accuracy of normal approximation for the distribution of
a sum of random variables goes back to Liapunov (1901).
The long-standing problem was to find a Berry-Esseen-type inequality for
the distribution of Student's statistic under correct moment restriction
with explicit constants. The talk will present a solution. Surprisingly,
an exact analog of the non-uniform Berry-Esseen inequality does not hold.
Friday 16 May 2003
2.00pm Sam Howison (Oxford)
A parametric model for liquidity effects in derivative pricing
and hedging
The work described in this talk, jointly with David Bakstein, deals with
a model for pricing and hedging derivatives in a market where trading
incurs transaction costs and causes price slippage. We formulate
discrete and continuous-time models, analyse them approximately and
numerically, and show that the model can be calibrated to (equity)
market data.
Seminar organizer, Susan Pitts
Please see also http://www.statslab.cam.ac.uk/~james/Seminars/
for Informal Probability Seminars
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