统计与管理学院2017年学术报告第17期

【主  题】Fourier analyses for regularly varying sequences

【报告人】Yuwei Zhao, 博士

University of Copenhagen，Denmark.

【时  间】 2017年04月25日（星期二）14:00－15:00

【地  点】 上海财经大学统计与管理学院大楼1208室

【摘  要】We start with a short discussion on the definition of regular variation of the sequence. We investigate the asymptotic properties of the integrated periodogram calculated from a sequence of indicator functions of dependent extremal events in a regularly varying sequence. An event in Euclidean space is extreme if it occurs far away from the origin. The functional central limit theorem for the integrated periodogram is proved, which is then used to construct the goodness-of-fit tests. We also propose a Whittle estimation procedure.

【邀请人】 冯兴东