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2021教授讲堂(第21期)蒋辉:Deviation inequalities and Cramer-type moderate deviations for the explosive autoregressive process

日期:2021-10-11      来源:统计学院    [字体: ]

题 目:Deviation inequalities and Cramer-type moderate deviations for the explosive autoregressive process

主讲人:蒋辉 教授

时 间:2021年10月14日(星期四)8:30--10:30

地 点:腾讯会议 ID:745 733 590

内 容:In this talk, we consider asymptotic properties for the quadratic functionals and associated ordinary least squares (OLS) estimator in the autoregressive process of order 1 with Gaussian noise. Deviation inequalities and Cramer-type moderate deviations are achieved in the explosive and mildly explosive frameworks. The main methods used in this paper consist of the deviation inequalities for multiple Wiener-Ito integrals, as well as the asymptotic analysis techniques. This is a joint work with Yilong WAN and Guangyu YANG.

报告人简介:蒋辉,南京航空航天大学数学系,教授,博士生导师。主要从事随机分析、大偏差、随机过程的统计推断等研究,在Bernoulli,Stochastic Processes and their Applications, Journal of Applied Probability, Journal of Theoretical Probability, Electronic Journal of Statistics等期刊发表论文四十余篇。作为团队成员获教育部高等学校优秀科研成果二等奖以及湖北省自然科学二等奖,主持国家自然科学基金3项,中国博士后基金2项。

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