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Detecting smooth changes in locally stationary processes

Date: 
Tuesday 14th January 2014 - 09:30 to 10:00
Venue: 
INI Seminar Room 1
Abstract: 
In a wide range of time series applications, the stochastic properties of the data change over time. It is often realistic to assume that the properties are approximately the same over short time periods and then gradually start to vary. This behaviour is well modelled by locally stationary processes. In this talk, we investigate the question how to estimate time spans where the stochastic features of a locally stationary time series are the same. We set up a general method which allows to deal with a wide variety of features including the mean, covariances, higher moments and the distribution of the time series under consideration.
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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons