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Jean-Marc BARDET (Paris I) “Non-Parametric Estimation of Time Varying AR(1)-Processes with Local Stationarity and Periodicity”.
January 25, 2018, 5:30 pm - 6:30 pm
FINANCIAL ECONOMETRICS SEMINAR
Time: 17:30 pm – 18h30 pm
Date: 25th of January 2018
Place: Room 3001.
Jean-Marc BARDET (Paris I) “”Non-Parametric Estimation of Time Varying AR(1)-Processes with Local Stationarity and Periodicity”.
Abstract: Extending the ideas of Dalhaus (2012), this paper aims at providing a kernel based
non-parametric estimation of a new class of time varying AR (1) processes (), with local
stationarity and periodic features (with a known period T), inducing the definition =
(/) −1 + for ∈ ℕ and with + ≡ . Central limit theorems are established
for kernel estimators ̂() reaching classical minimax rates and only requiring low order
moment conditions of the white noise() up to the second order.
Jean-Michel ZAKOIAN (CREST )
CREST and ILB
Address : ENSAE ParisTech
5, avenue Henry Le Chatelier
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