题目：Joint Estimation of Fractal Indices for Bivariate Gaussian Processes
报告人：美国密歇根州立大学统计与概率系肖益民教授
时间：2017年11月20日下午13:30-14:30
地点：九教330
报告内容：
Multivariate (or vector-valued) stochastic processes are important in probability, statistics and various scientific areas as stochastic models. In recent years, there has been increasing interest in investigating their statistical inference and prediction.
In this talk, we study the problem for estimating jointly the fractal indices of a bivariate Gaussian process. These indices not only determine the smoothness of each component process, fractal behavior of the whole process, but also play important roles in characterizing the dependence structure among the components.
Under the infill asymptotics framework, we establish joint asymptotic results for the increment-based estimators for bivariate fractal indices. Our main results show the effect of the cross dependence structure on the performance of the estimators. This is a joint paper with Yuzhen Zhou.
报告人简介：肖益民，美国密歇根州立大学统计与概率系终身教授，国际著名概率统计专家。主要从事随机场及随机偏微分方程、分形几何、位势理论、随机场的极值理论、空间统计、非参数估计方面的研究，取得了一系列具有国际先进水平的重要成果，促进了随机场理论在其它领域中的应用。现担任SCI杂志《Statistics and Probability Letters》共同主编，同时还是SCI杂志《Science in China, Mathematics》，《Illinois Journal of Mathematics》的编委，也是许多国际一流数学杂志的审稿人，如《Annals of Probability》、《Annals of Applied Probability》、《Transactions of the AMS》、《Probability Theory and Related Fields》、《Journal of London Mathematical Society》等。多次担任美国国家自然科学基金概率和统计项目评审小组成员，以及加拿大、瑞士、德国、香港等国家和地区自然科学基金评审人。
欢迎感兴趣的老师和同学参加！
经济学院
2017年11月14日