Ramsés Mena (Universidad Nacional Autónoma de México)

“On the construction of stationary process and their applications”

abstract

I will review a simple idea to construct strictly stationary Markov processes with given marginal distributions. The proposed methodology is appealing in that it keeps track ofthe underlying transition probabilities, hence being of interest in estimation, simulation and applied problems. Various classes of time series models and diusion processes, inboth parametric and nonparametric contexts will be revised. If time allows some details about estimation and concrete applications will be also presented.