报告题目：SMOOTH TRANSITION MOVING AVERAGE MODEL: ESTIMATION AND TESTING
报告人：李东，清华大学统计学研究中心（长聘）副教授
报告时间：2021年4月23日(周五)16:00-17:30
报告地点：中科院数学与系统科学研究院南楼N219；腾讯会议 会议 ID：439 1516 9050
内容摘要：This talk introduces a new class of nonlinear moving average models, called smooth transition moving average (STMA) models, and studies its least squares estimation (LSE). It is shown that, under some mild conditions, the LSE is strongly consistent and its convergence rate and asymptotic normality are also obtained. Powerful score-based tests for linearity and the goodness-of-fit of the STMA model are presented. The test is asymptotically distribution- free and is easy to implement in practice. Simulation studies are conducted to examine the performance of the LSE and the score-based test in finite samples. The results are illustrated with an application to the weekly exchange rate of the Indian Rupee(INR) against the USA dollar from 1973 to 2020.
报告人简介：李东，清华大学统计学研究中心（长聘）副教授。主要研究兴趣：金融计量学，非线性非平稳时间序列分析，网络数据分析与大数据分析。目前担任全国工业统计学教学研究会常务理事，全国工业统计学教学研究会数字经济与区块链技术协会常务理事，中国青年统计学家协会常务理事，北京大数据协会常务理事，北京应用统计学会理事，中国现场统计研究会计算统计分会理事，中国概率统计学会副秘书长。
