Abstract #300847

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JSM 2003 Abstract #300847
Activity Number: 393
Type: Invited
Date/Time: Wednesday, August 6, 2003 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #300847
Title: Adaptive Methods for Analysis of Nonstationary Time Series
Author(s): Vladimir Spokoiny*+
Companies: Humboldt University
Address: Weierstrass Institute for Applied Analysis and Stochastics, Berlin D-10117, , Germany
Keywords: local homogeneity ; adaptive estimation
Abstract:

Different methods of modeling, filtering and forecasting for nonstationary time series are discussed. The model we consider is very general and it allows us to proceed in a unified way for changepoint and smooth transition models. The methods are applied to volatility modeling for financial time series.

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