The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Advances in Statistical Computing For Linear Time Series
Professor A. Ian McLeod
Wednesday, 16th April, 2pm
The Whittaker Room (211)
Abstract:
New algorithms for use with various linear models are discussed. Specifically:
* a new family of subset AR models models with associated model selection, estimation and diagnostic checking
* a faster algorithm for ARMA maximum likelihood which only requires O(1) flops per likelihood evaluation
* a comprehensive approach suitable for many types of linear models for exact MLE, forecasting and simulation
* a new algorithm for exact MLE for fractionally differenced or fractionally seasonally-differenced ARIMA models
All methods discussed have been implemented in a series of R packages available from CRAN.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
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Ingrid Harper
Division of Statistics and Probability
Department of Mathematical Sciences
University of Liverpool
Mathematical Sciences Building
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
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