##### Department of Mathematics,

University of California San Diego

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### Math 288 - Probability and Statistics Seminar

## Wei Biao Wu

#### University of Chicago

## Some New Perspectives in the Theory of Time Series

##### Abstract:

I will present a unified framework for a large-sample theory of stationary and non-stationary processes. Topics in classical time series analysis will be revisited and they include the estimation of covariances, spectral densities and long-run variances. I will also talk about high dimensional covariance matrices estimation and inference of mean and quantiles of non-stationary processes.

### February 12, 2009

### 2:00 PM

### AP&M 6402

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