[Forum SIS] UNIBO Statistics Seminar

[Silvia Cagnone]

We are glad to announce the following  Statistics Seminar:



Tuesday, July 4, 2.30 pm


Room II, via delle Belle Arti 41, Bologna


Alessandro Cardinali  (University of Plymouth)


Costationary Inference for Locally Stationary Time Series


Abstract: In this presentation we illustrate a novel inferential approach to estimate time-varying parameters of (multiple) locally stationary time series. This approach is based on costationary combinations, that is, time-varying deterministic linear combinations of locally stationary time series that are second-order stationary. We first review the theory of costationarity and formalize a Generalised Method of Moments estimator for the coefficient vectors.  We then use this new framework to derive an estimator for the (time-varying) covariance of locally stationary time series. We show that  the new covariance estimator is more efficient than classical estimators exclusively based on the evolutionary cross-periodogram through a simulation experiment. We then present a new analysis of financial log-returns showing that our new estimator is capable to highlight well known economic shocks. As a second example of our approach we finally discuss forecasting of locally stationary time series based on costationary combinations.


Contact person: Alessandra Luati


The schedule of the statistics seminars are available at http://www.stat.unibo.it/it/dipartimento/seminari-di-statistica-2017


Silvia Cagnone
Department of Statistical Sciences "Paolo Fortunati"
University of Bologna
Via delle Belle Arti 41 - 40126  Bologna,  ITALY
Tel: +39 051 2098213  Fax: +39 051 232153
http://www2.stat.unibo.it/cagnone/

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