主讲人：朱柯博士

中科院应用数学研究所、香港大学统计与精算系

摘要：This paper proposes a Cramer-von Mises (CM) test statistic
to check the adequacy of weak ARMA models. Without posing a martingale difference assumption on the error terms, the asymptotic null distribution of the CM test is obtained by using the Hillbert space approach. Moreover, this CM test is consistent, and has nontrivial power against the local alternative of order $n^{-1/2}$. Due to the unknown dependence of error terms and the estimation effects, a new block-wise random weighting method is constructed to bootstrap the critical values of the test statistic.
The new method is easy to implement and its validity is justified. The
theory is illustrated by a small simulation study and an application
to S&P 500 stock index.

时间：11月5日（周三）下午15:00

地点：必赢76net线路官网北一文科楼707教室