[Forum SIS] DEC Statistics Seminar (Bocconi) - February 11th

[Isadora Antoniano]

Dear all,

We are glad to announce the next:


*DEC - Statistics Seminar*

Thursday, February 11th

*Università Bocconi,*

Room 3-E4-SR03

Via Rontgen 1 - 3rd floor

Time: *12:30 pm*


Refik Soyer
(The George Washington University)

*"Bayesian modeling and analysis of multivariate time series of counts"*

Abstract

We consider modeling of multivariate time-series of correlated counts which
often arise in finance, operations and marketing applications. Dependence
among series arises as a result of sharing a common environment. We
consider a class of multivariate Poisson time series models by assuming a
common environmental process modulating the rates of the individual series.
This setup gives us a class of dynamic multivariate negative binomial time
series. We develop Bayesian inference for these models using particle
filtering and Markov chain Monte Carlo methods. A by-product of particle
filtering in our set up is predictive likelihoods which we refer to as
multivariate confluent hyper-geometric negative binomial distribution. We
discuss issues of sequential filtering, smoothing and prediction and
illustrate the proposed models using a simulated data set as well as actual
data on weekly household shopping trips.


 The DEC seminar schedule is available at
http://www.unibocconi.eu/statseminar


*ATTENTION*

If you are a guest and you do not have a Bocconi ID Card to access the
Bocconi Buildings, please confirm your participation to the event by
sending an email to martina.ercoli a unibocconi.it.
In addition, we suggest that you print, fill out and send the attached form
(to give your consent to personal data handling) via email to the above
address. In this way, the check-in procedure at the entrance will be faster
and easier.


Kind regards,

Raffaella Piccarreta and Isadora Antoniano
-------------- parte successiva --------------
Un allegato HTML è stato rimosso...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20160204/eb672fe0/attachment-0001.html>
-------------- parte successiva --------------
Un allegato non testuale è stato rimosso....
Nome:        R.Soyer.11.02.16.pdf
Tipo:        application/pdf
Dimensione:  42547 bytes
Descrizione: non disponibile
URL:         <http://www.stat.unipg.it/pipermail/sis/attachments/20160204/eb672fe0/attachment-0002.pdf>
-------------- parte successiva --------------
Un allegato non testuale è stato rimosso....
Nome:        ModuloVisitorPass&Privacy.pdf
Tipo:        application/pdf
Dimensione:  56070 bytes
Descrizione: non disponibile
URL:         <http://www.stat.unipg.it/pipermail/sis/attachments/20160204/eb672fe0/attachment-0003.pdf>