主  題：CLT for Largest Eigenvalues and Unit Root Tests for High Dimensional Nonstationary Time Series

內(nèi)容簡介：This talk is about both the convergence in probability and the asymptotic joint distribution of the first k largest eigenvalues of sample covariance matrices when data are nonstationary. As an application, a new unit root test for a vector of high dimensional time series is proposed and then studied both theoretically and numerically.
報告人：潘光明     教授

時  間：2017-06-05    13:30

地  點：競慧東樓302室

舉辦單位：理學(xué)院  統(tǒng)計科學(xué)與大數(shù)據(jù)研究院