Local Gaussian Approximation: Theory and Applications
主讲人: Dag Tjøstheim

 CV: Upload/File/2016/4/20160420051512669.pdf

主持人: Muyi Li

The Gaussian distribution, univariate and multivariate, has a unique place in statistics. For instance, for a Gaussian distribution dependence is completely determined by correlation between pairs of variables. The idea of local Gaussian approximation is to approximate a bivariate (multivariate) density locally by a bivariate (multivariate) Gaussian density. The correlation function of the approximating Gaussian is taken as the local Gaussian correlation at this location. It is a very useful nonlinear dependence measure. In the talk I will review some recent developments, including the local Gaussian autocorrelation and its use in measuring nonlinear serial dependence in time series. Moreover, I will cover semiparametric multivariate density estimation with increasing dimension, conditional density estimation, local partial correlation and perspectives emanating from this. Illustrations will be given from recent publications and preprints.

时间: 2016-04-27(Wednesday)16:40-18:00
地点: D236, Econ Building
主办单位: SOE & WISE
类型: 厦门大学高级计量经济学与统计学系列讲座