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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.

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