The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
On outlier detection in multivariate time series
Professor Francesco Battaglia
Universita di Roma "La Sapienza"
Wednesday, 15th March 2006, 2pm
The Whittaker Room (211)
Abstract:
The relevance of a correct outlier detection in multivariate time series is
stressed. After an outline of Arima-model-based techniques, the idea of
detection through univariate projections is discussed. Some recently
proposed methods based on kurtosis minimisation, or alternatively use of
independent component analysis, are outlined. In particular, it is shown
that independent component analysis is especially suitable when the time
series has a linear factor structure.
(Based on a technical paper by Galeano, Pena & Tsay, 2004, Univ. Carlos 3,
Madrid, and material by Baragona & Battaglia, still unpublished).
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
********************************************************
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
********************************************************
|