Activity Number:
|
120
- SPEED: Nonparametric Statistics: Estimation, Testing, and Modeling
|
Type:
|
Contributed
|
Date/Time:
|
Monday, July 30, 2018 : 8:30 AM to 10:20 AM
|
Sponsor:
|
Section on Nonparametric Statistics
|
Abstract #330036
|
|
Title:
|
Tangent Field and Multi-Fractional Brownian Motion with Applications on Stock Indices
|
Author(s):
|
Jinqi Shen* and Tailen Hsing
|
Companies:
|
University of Michigan and University of Michigan
|
Keywords:
|
nonstationary random field;
tangent field;
multifractional Brownian motion;
minimax rate
|
Abstract:
|
One approach to studying the local structure of a nonstationary random field is to look at its tangent fields, but inference of tangent fields is a delicate problem. This paper proposes a new nonparametric approach to identify multifractional Brownian motion, an important random field with tangent fields. We studied the convergence properties for our method and showed its optimality by studying the minimax convergence rate of this problem. We applied our approach to study the data of stock indices as an application and are working on extending our method to do inference for general tangent fields.
|
Authors who are presenting talks have a * after their name.