主 題：CLT for Largest Eigenvalues and Unit Root Tests for High Dimensional Nonstationary Time Series
內(nèi)容簡(jiǎn)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(bào)告人：潘光明 教授
時(shí) 間：2017-06-05 13:30
地 點(diǎn)：競(jìng)慧東樓302室
舉辦單位：理學(xué)院 統(tǒng)計(jì)科學(xué)與大數(shù)據(jù)研究院
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