American Statistical Association
New York City
Metropolitan Area Chapter

Mailman School of Public Health
Columbia University
Department of Biostatistics Colloquium



NONSTATIONARY GENERALIZED INTEGRATED PROCESSES

by

Philippe Barbe, Ph.D.
CNRS (French National Center for Scientific Research)
Department of Mathematics, Université de Cergy-Pontoise / Saint-Martin Cergy-Pontoise, France
http://agm.u-cergy.fr/fiches_perso/Barbe.html


Abstract

Generalized integrated processes were introduced by Granger in 1998. From a statistical viewpoint, they extend the fractional autoregressive moving average processes used in time series analysis, and, from a probabilistic viewpoint, they extend the classical random walk to fractional analogues. In this talk, I will give an overview of the little we know and a glimpse of what we would like to know about those processes when they have no stationary solutions. I will explain why I find them interesting both for modeling and theoretical investigations. I will indicate open problems, share questions, doubts and uncertainties.

Part of the talk will be based on some joint work with Bill McCormick.
Questions, remarks and suggestions from the audience are most welcome any time during the talk.

Biographical Note

Philippe Barbe has a degree in applied statistics from ENSAE and a Ph.D. in statistics from the University of Paris 6. He was appointed at the CNRS in 1993 and held several visiting positions in Europe and in the US. His work covers various areas of statistics and applied probability, mostly guided by his interests of the moment and scientific encounters.


Date: Thursday, October 7, 2010
Time: 4:00 - 5:00 P.M.
Location: Mailman School of Public Health
Department of Biostatistics
722 West 168th Street
Biostatistics Computer Lab
6th Floor - Room 656
New York, New York

RESERVATIONS ARE NOT REQUIRED

Informal tea at 3:40 P.M.


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