Colloquium on Friday, September 13, at 2 pm

Dr. Ning Hao from the University of Arizona invited by Dr. Jiancheng Jiang, will be giving a colloquium talk on Friday, September 13, at 2:00 pm in Fretwell 315.
The title and abstract of his talk are attached below.

Title: Covariance Estimation and Inference for Time Series Data with Mean Shifts

Abstract: Testing for the presence of autocorrelation is a fundamental problem in time series analysis. Classical methods such as the Box–Pierce test rely on the assumption of stationarity, necessitating the removal of non-stationary components such as trends or shifts in the mean prior to application. However, this is not always practical, particularly when the mean structure is complex, such as being piecewise constant with frequent shifts. In this work, we propose a new inferential framework for autocorrelation for time series data under frequent mean shifts. We introduced a generalized Box test that reliably tests for autocorrelation and is robust again mean shifts. We illustrate an application of our method to nanopore data.