主 题：CLT for Largest Eigenvalues and Unit Root Tests for High Dimensional Nonstationary Time Series
内容简介：This talk is about both the convergence in probability and the asymptotic joint distribution of the first k largest eigenvalues of sample covariance matrices when data are nonstationary. As an application, a new unit root test for a vector of high dimensional time series is proposed and then studied both theoretically and numerically.
报告人：潘光明 教授
时 间：2017-06-05 13:30
地 点：竞慧东楼302室
举办单位：理学院 统计科学与大数据研究院
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