报告题目：Limit Theory for the Autoregressive Processes with Root Close to Unity

主 讲 人：杨广宇

单 位：郑州大学

时 间：12月15日9:00

腾 讯 ID：936 654 661

摘 要：

In this talk, we will conduct the asymptotic properties of the estimators of the autoregressive process with root close to unity. For the ordinary least squares (OLS) estimators, we obtain the moderate deviations and Cramer-type moderate deviations which improve the results of Worms (EJP, 1999; SPL, 2001) and Bercu (Bernoulli, 2001). While, for the least absolute deviation (LAD) estimators, we establish the asymptotic theory of the estimators which are parallel to the results of OLS estimators developed by Andrews and Guggenberger (JTSA, 2008) or Chan and Wei ( Ann. Statist., 1987) and Phillips (Biometrika, 1987). We will mainly focus on the asymptotic properties of the LAD estimators.

简 介：

杨广宇，郑州大学副教授，2007年获武汉大学博士学位，河南省高等学校青年骨干教师。主要感兴趣于概率论及其在相关领域如统计、数学物理等方面的应用。2018.1-2019.1访问MSU。在数学学报、数学物理学报、Bernoulli、Scand. J. Stat.、Stochastics等发表学术论文二十余篇，主持国家自然科学基金等项目多项。