The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Identification of persistent cycles in non-gaussian long memory time series
Dr Mohamed Boutahar
Wednesday, 9th April, 2pm
The Whittaker Room (211)
Abstract:
We give the limiting distribution of the least squares estimator in the autoregressive process driven by a non-Gaussian long memory disturbance and when the characteristic polynomial has pairs of complex roots on the unit circle. To achieve this task, we first study the limiting distribution of the weighted sum, Pn k=1 cn,k ?k , where ?k = Pj?k bk?j uj is a non-Gaussian long memory moving average process, and (cn,k , 1 ? k ? n) is a given sequence of weights. We need also to establish a functional central limit theorem (FCLT) for the Sine and Cosine Fourier transforms P[nt] k=1 sin(k?)?k andP[nt] k=1 cos(k?)?k, ? ?]0, ?[, t ? [0, 1].
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
Division of Statistics and Probability
Department of Mathematical Sciences
University of Liverpool
Mathematical Sciences Building
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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