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Department Seminar Series: Pramita Bagchi, “Inference for Monotone Functions Under Short and Long Range Dependence: New Universal Limits"

Tuesday, December 9, 2014
12:00 AM
340 West Hall

We introduce new point-wise confidence interval estimates for mono-tone functions observed with additive and dependent noise. We study both short- and long-range dependence regimes for the errors. The interval estimates are obtained via the method of inversion of certain discrepancy statistics. This approach avoids the estimation of nuisance parameters such as the derivative of the unknown function, which other methods are forced to deal with. The resulting estimates are therefore more accurate, stable, and widely applicable in practice under mild assumptions on the trend and error structure. While motivated by earlier work in the independent context, the dependence of the errors, especially long-range dependence leads to new phenomena and new universal limits based on convex minorant functionals of drifted fractional Brownian motion.

This is joint work with Prof. Moulinath Banerjee and Prof. Stilian Stoev.