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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 ************************************************* 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 *************************************************