Mathematical Sciences Seminar - Aspects of Prediction Theory
When:
—
Venue:
Birkbeck Main Building, Malet Street
No booking required
This talk concerns prediction theory for stationary stochastic processes in discrete time, in one dimension or (motivated by financial portfolios) many. The basic tool is orthogonal polynomials on the unit circle (OPUC), or its recent multivariate extension (MOPUC). The partial autocorrelation function (PACF), or Verblunsky coefficients, and the Levinson-Durbin algorithm, play key roles.
Contact name:
Department of Economics, Mathematics and Statistics