[Forum SIS] Seminario 18 Giugno prof. G. Petris

[Dip. Scienze Statistiche - Mi]

Il Dipartimento di Scienze Statistiche dell'Università Cattolica del Sacro Cuore ha organizzato un seminario, presentato dal Prof. Giovanni PETRIS, dell'University of Arkansas (USA), dal titolo:



A framework for functional time series analysis.

Mercoledì 18 Giugno dalle ore 11,00

in Aula G 053



Università Cattolica del Sacro Cuore - Milano

Largo Gemelli,1 - Edificio Lanzone 18

Abstract:
With the increasing availability of functional data collected over time, there is a need to develop flexible statistical tools for the analysis and forecasting of time series of functional data.
In the talk we propose a framework for Bayesian functional time series analysis, built on the extension of the dynamic linear model to functional-valued observations and states. The resulting functional dynamic linear model is mathematically rigorous and, at the same time, very easy to use in practical applications. While the model in its abstract formulation is very general, we will show how specific subclasses of it, inspired by the classical Structural Time Series models, can be used to analyse data exhibiting a particular structure, such as for example a seasonal pattern.

Examples and applications to economic and financial data will be provided.




Segreteria Organizzativa:
Barbara Villa
Addetto Amministrativo Segreteria
Dipartimento di Scienze statistiche
Università Cattolica del Sacro Cuore
Largo Gemelli, 1
Edificio Via Lanzone, 18
20123 Milano
Tel. 02/72342647
Fax 02/72343064
http://dipartimenti.unicatt.it/scienze_statistiche


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