[Forum SIS] Annuncio Seminario - Matteo Barigozzi

[Statlab DiSES]

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Annuncio Seminario di Statistica

Dipartimento di Scienze Economiche e Statistiche - DiSES

Università degli Studi di Salerno

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Data evento: Mercoledì 9 aprile 2014, h. 15.30 (Sala del Consiglio)

 

 Matteo Barigozzi (London School of Economics and Political Science)

NETS: Network Estimation for Time Series

 

ABSTRACT
This work proposes novel network analysis techniques for multivariate time
series. We define the network of a multivariate time series as a graph where
vertices denote the components of the process and edges denote non--zero
long run partial correlations. We then introduce a two step LASSO procedure,
called NETS, to estimate high--dimensional sparse Long Run Partial
Correlation networks. This approach is based on a VAR approximation of the
process and allows to decompose the long run linkages into the contribution
of the dynamic and contemporaneous dependence relations of the system. The
large sample properties of the estimator are analysed and we establish
conditions for consistent selection and estimation of the non-zero long run
partial correlations. The methodology is illustrated with an application to
a panel of U.S. bluechips.

 

PAPER <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2249909> 

 

Tutti gli interessati sono cordialmente invitati a partecipare.

 

 

Laboratorio di Ricerca e Formazione avanzata in Statistica (STATLAB)
<http://www.dises.unisa.it/centri_laboratori/statlab/index> 

Dipartimento di Scienze Economiche e Statistiche - DiSES
<http://www.dises.unisa.it/index>  

 

Università degli Studi di Salerno 

Via Giovanni Paolo II, 132

84084 Fisciano SA

Tel. +39 089 96 3132

 



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