[grads] [Sem-coll] Applied Math Colloquium Next Week
jmillham at iit.edu
Fri Jan 8 17:00:40 CST 2010
Happy New Year everyone, and welcome back to the Spring Semester at IIT!
Please join the Applied Math department for the below colloquium. All
are welcome, and faculty & graduate students are especially encouraged
to attend these first colloquia of the semester. Refreshments will be
served in Room 112 30 minutes before the scheduled start of the
Monday, January 11, 2010
4:40 pm E1 106
“ORACALLY EFFICIENT SPLINE SMOOTHING Of NONLINEAR ADDITIVE
AUTOREGRESSION MODELS WITH SIMULTANEOUS CONFIDENCE BANDS”
(Michigan State University)
Under weak conditions of smoothness and mixing, we propose
spline-backfitted spline (SBS) estimators of the component functions
for nonlinear additive autoregression model that is both
computationally expedient for analyzing high dimensional large time
series data, and theoretically reliable as the estimator is oracally
efficient and comes with asymptotically simultaneous confidence band.
Based on newly derived confidence bands, we can test whether a
particular parametric form fits a given data set. Simulation evidence
strongly corroborates with the asymptotic theory, and a real-date
example is used to illustrate our techniques.
See you there!
Department of Applied Mathematics
Illinois Institute of Technology
Engineering-1 Room 208
10 W. 32rd St.
Chicago IL 60616
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