Statistical Inference of Models with Time-Varying Parameters

研究者研究具有非平稳和相关误差的模型中时变参数的估计、检验和同时置信区域的构建。同时置信区域可用于检验协变量与响应之间的关联模式。在过去的十年中，具有时变数据生成机制的模型在经济学、金融学、工程学、社会学、医学、环境科学等各个领域都得到了广泛的关注。从建议的结果是有用的理解解释变量和响应时间观察到的数据，其中基本的物理机制随时间变化的动态关联。

The investigator studies estimation, testing and construction of simultaneous confidence regions for time-varying parameters in models with non-stationary and dependent errors. The simultaneous confidence regions can be used to test patterns of associations between covariates and responses. The investigator also develops new tools for asymptotic analysis of non-stationary time series.During the last decade, models with time-varying data generating mechanisms have gained substantial attention in various fields including economics, finance, engineering, sociology, medical science, environmental science among others. Results from the proposal are useful for understanding the dynamic association between explanatory variables and responses for temporally observed data in which the underlying physical mechanism change with respect to time.