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UID:4779@i2m.univ-amu.fr
DTSTART;TZID=Europe/Paris:20230515T140000
DTEND;TZID=Europe/Paris:20230515T160000
DTSTAMP:20240524T072506Z
URL:https://www.i2m.univ-amu.fr/evenements/seminaire-statistique-lionel-tr
 uquet-crest-ensai-france-autoregressive-categorical-time-series-theory-and
 -inference/
SUMMARY: (...): Séminaire statistique -  Lionel Truquet (CREST-ENSAI\, Fr
 ance) - Autoregressive categorical time series. Theory and inference.
DESCRIPTION:: Despite their importance in many fields (e.g. dynamic discret
 e choice models in Econometrics or dynamic graphs in statistics)\, little 
 has been done to formalize a general probabilistic framework that is flexi
 ble enough to analyze complex time series models for categorical data.\nIn
  this talk\, we will present some general results that can be used to cond
 uct statistical inference with such series when\n1) both an endogenous and
  exogenous (random covariates) part are included in the regressors\,\n2) m
 ixing conditions are necessary for non-parametric inference\,\n3) local in
 ference is necessary to deal with nonstationarity.\nWe will discuss two di
 fferent formalisms that can be used to solve the three points mentioned ab
 ove\, depending on the exogeneity conditions on the regressors.\nThe first
  one\, compatible with strictly exogenous covariates\, consists in exploit
 ing the properties of finite-state Markov chains in random environments.\n
 The second one\, compatible with sequentially exogenous regressors\, is ba
 sed on some coalescence properties of iterated random map systems on finit
 e set.\nAs a consequence\, one can provide theoretical guarantees for stat
 istical inference in almost all the autoregressive time series models foun
 d in literature.
CATEGORIES:Séminaire,Statistique
LOCATION:St Charles - FRUMAM\, 3\, place Victor Hugo\, Marseille\, 13003\, 
 France
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