🚀 go-pugleaf

Colloquium - Department of Statistics, University of Toronto

Speaker:     Prof. Richard A. Davis, Colorado State University
Topic:       Inference for MA(1) Processes with a Root On or Near
	     the Unit Circle
Date:        Thursday, November 12   4:00 - 5:00
Place:       Room 1073, Sidney Smith Hall, 100 St. George Street
Abstract:  

In joint work with William Dunsmuir, a unified treatment of
the limiting behaviour of the maximum likelihood estimator
for Gaussian MA (1) processes is given when the moving
average parameter is on or near the unit circle.

Of practical significance is the fact that the asymptotic
distribution is surprisingly accurate even for small sample
sizes and for values of the moving average parameter
considerably far from the unit circle.  In the latter case,
where the normal limit approximation is thought to be
reasonably good, the approximation based on this new limit
often provides a more accurate approximation.

Finally, we discuss how our limiting results can be applied
to problems of hypothesis testing and confidence interval
construction.

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Coffee and Tea will be served in the Delury Lounge (SS6004) at 3:30 p.m.