Seminario del Departamento de Probabilidad y Estadística

Resumen

Nonfundamental representations of univariate processes have been applied in the fields of Finance and Economics to describe nonlinear dynamics resulting from future shocks. This paper introduces a novel estimation technique for general linear time series models, potentially noninvertible and noncausal, by utilizing the empirical cumulative distribution function of residuals.

Ponente

Dr. Weifeng Jin

Assistant Professor, ITAM

Informes

eli@sigma.iimas.unam.mx