About

Start your brilliant career with a degree from Australia's #1 ranked university.

News

Find contact details for any general enquiries.

Engage with us

Find contact details for any general enquiries.

Study with us

Our graduates gain the knowledge and skills to lead organisations, develop public policy, create new companies and undertake research.

Our research

Our research is focused on issues that are highly significant for organisations, the Australian economy, and society at large.

Current Students

Whether you're a new or continuing student, you can find everything you need here about managing your program and the opportunities available to you.

Alumni

Our alumni may be found in the world’s leading companies, policy agencies and universities.

Contact us

Find contact details for any general enquiries.

RSFAS Seminar | Prof Hanlin Shang

RSFAS Seminar | Prof Hanlin Shang

Estimation of long-memory parameter in stationary and non-stationary curve time series

Professor Hanlin Shang, Macquaire University

Available to CBE staff and HDRs only.

We study a functional version of fractionally integrated stationary and nonstationary time series, covering the functional unit root as a special case. The functional time series are projected onto a finite number of sub-spaces, the level of stationarity/non-stationary allowed to vary over them. Through the classic functional principal component analysis of the sample variance operator, we obtain the eigenvalues and eigenfunctions which span a sample version of the dominant subspace. Furthermore, we introduce a simple ratio criterion to consistently estimate the dimension of the dominant sub-space, and use a memory parameter estimator, such as local Whittle estimator, to estimate the memory parameter. Monte-Carlo simulation studies and empirical applications are given to examine the finite-sample performance of the developed techniques.

Updated:   25 May 2020 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team