The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Multivariate Time Series Modelling via Common Factors
Prof Qiwei Yao
Wednesday, 8th November 2006, 2pm
The Whittaker Room (211)
Abstract:
We propose a new method for estimating factor multivariate time series
models. One distinctive feature of the new approach is that it is
applicable to nonstationary time series. The unobservable
(nonstationary) factors are identified via expanding the innovation
space step by step; therefore solving a high-dimensional optimisation
problem by many low-dimensional sub-problems. Some asymptotic properties
of the estimation are established. Numerical illustration with both
simulated and real data will also be presented
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Mathematical Sciences Building
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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