Semiparametric Models for Time Series and Approximating Sieves

Peter J Bickel

Department of Statistics, University of California, Berkeley

In recent years there has been much focus on the building of semiparametric models for iid observations and the construction of efficient procedures in them - see Bickel, Klaassen, Ritov and Wellner (1993) for instance. There has also been considerable attention paid to the use of different types of sieves for function estimation in the same context eg splines (Stone (1994)), wavelets (Donoho - Johnstone (1995)). Some attention has also been paid to such models in time series,Kreiss(1992) for example.

In this paper we review the use of sieves and the bootstrap in the i.i.d.case and their extension,actual and potential to time series (Bickel and Buhlmann (1996)), (Buhlmann and Wyner (1997)) and point to some future developments and research questions.

Refreshments: 2:30 - 3:00 p.m. Wed. Nov 19, at 327 Yost
Talk: 3:00 - 4:00 p.m. Wed. Nov 19, at 327 Yost.

Here is the paper

Back to General Schedule

Questions? jiayang@sun.cwru.edu
Wed Aug 13 13:54:29 EDT 1997