| 报告题目： | Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models |
| 报 告 人： | Professor Hira L. Koul |
| Professor and Chair, Department of Statistics and Probability, Michigan State University | |
| 报告时间： | 10月23号（周二）下午14:30―15:30 |
| 报告地点： | 九龙湖数学系第一报告厅 |
| 相关介绍： | 摘要：The family of multiplicative error models, introduced by Engle (2002), has attracted considerable attention in the recent literature for modeling positive random variables, such as the duration between trades at a stock exchange, volume transactions and squared log returns. Such models are also applicable to other positive variables like waiting time at a queue, daily/hourly rainfall, or demand for electricity. This paper develops a new method for testing the lack-of-fit of a given parametric multiplicative error model having a Markov structure. The test statistic is of Kolmogorov-Smirnov type based on a particular martingale transformation of a marked empirical process. The test is asymptotically distribution free, consistent against a large class of fixed alternatives and has non-trivial asymptotic power against a class of nonparametric local alternatives converging to the null hypothesis at the rate of O(n^-2). In a simulation study, the test performed better overall than the general purpose Ljung-Box Q-test, a Lagrange Multiplier type test and a Generalized Moment test. We illustrate the testing procedure by considering two data examples. 报告人简介：希拉•考尔教授，密西根州立大学教授，统计与概率系主任。考尔教授年仅24岁即于1967年获得加州大学伯克利分校统计学博士学位，师从美国科学院院士和美国文理学院院士彼得•比克尔教授。考尔教授是数理统计学院会士，美国统计协会会士，国际统计学院会员，著名的洪堡科研奖金得主，曾任国际印度统计协会理事长，现任印度统计协会理事长。考尔教授曾担任多个统计期刊编委，包括Annals of Statistics, Journal of Statistical Planning and Inference, Sankhya, 现任Statistics and Probability Letters的共同主编。考尔教授发表过110以上著作，其中包括多篇发表在顶级期刊Annals of Statistics上的论文，和关于经验过程理论的两部专著以及关于长记忆过程的大样本推断的一本专著。考尔教授指导过27篇博士论文，另外还有20余名博士后裔。 |
