2011年北京大学许宝録讲座——Unbinding the Likelihood Foot in Time Series Analysis
报告人：汤家豪 (英国伦敦经济学院)
时间：2011-10-14 16:00-17:00
地点：Room1114, Sciences Building No. 1
Abstract: Using a time series model to mimic an observed time series has a long history. Because all models are wrong, (George Box's famous dictum), conventional estimation methods based on 1-step-ahead prediction errors are, like foot-binding, often too constrictive in at least two respects:
(i) assuming that there is a true model;
(ii) evaluating the efficiency of the estimation as if the postulated model is true.
In this talk, we propose a new approach to empirical time series modelling, based on some foot-unbinding ideas. By liberating ourselves from the dictatorship of one-step-ahead prediction errors, I shall illustrate, with simulations and real data, the many benefits of the liberation.
