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Seminario / Barigozzi

Il giorno 22 Novembre, alle ore 14.30, in Aula C del  Dipartimento di Matematica (Via Saldini, 50)

il prof.  Matteo Barigozzi ( London School of Economics, Londra)
terrà un seminario dal titolo

"Statistical analysis of high-dimensional time series via factor models"


High-dimensional time series are among the most common type of dataset
available today, and have entered current practice in many areas,
including meteorology, genomics, chemometrics, complex physics
simulations, biological and environmental research, finance and
econometrics. The analysis of such datasets poses significant
challenges, both from a statistical as well as from a numerical point
of view. Some of the most successful procedures so far have been based
on dimension reduction techniques and, more particularly, on
high-dimensional factor models which have been developed, essentially,
within time series econometrics.

In this talk I will first review the main results on the
representation of high-dimensional stationary times series as
generalized dynamic factor models. Then I will present two different
estimation techniques based on principal component analysis and on
Kalman filtering. Both a time and a frequency domain approach are
considered. Last, some extensions to non-stationary time series are
also discussed.

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16 novembre 2017
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