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Conferencia Detecting the temporal structure of an univariate stochastic process via nonparametric methods

Conferencia impartida por Mariano Matilla, profesor de la UNED
This research suggests a new nonparametric statistical test and procedures for selecting
relevant lags in the model description of a general linear or nonlinear stationary time series. The
presented methods can be applied to conditional mean and conditional variance processes,
being valid for heteroscedastic series. We also show that the test can be used as a diagnostic
17,30 h Sala de I+D+I del Dpto de Matemática Aplicada y Estadística (despacho B028), en la P. Baja