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Séminaire du GERAD : Conditional homoscedasticity test in time series with dependent innovations

Séminaire du GERAD : Conditional homoscedasticity test in time series with dependent innovations

Titre :  Conditional homoscedasticity test in time series with dependent innovations

Conférencier
: Kilani Ghoudi – United Arab Emirates University, Émirats arabes unis

Using a functional limits of certain cumulative residual processes, the talk proposes several tests for examining hypotheses about conditional variance functions for a time series with martingale innovations.

Resampling techniques used to compute P-values and critical values of the proposed tests are also discussed.

A simulation study is presented to demonstrate the behavior of the proposed tests in small sample situations.

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Entrée gratuite.
Bienvenue à tous!

Date

Mardi 3 avril 2018
Débute à 15h00

Prix

gratuit

Contact

Lieu

Université de Montréal - Pavillon André-Aisenstadt
2920, chemin de la Tour
Montréal
QC
Canada
H3T 1N8
514 343-6111
4488

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