[Forum SIS] Politecnico di Milano - Seminario Iacopini

[Laura Maria Sangalli]

Si avvisa che in data 08-11-2018, alle ore 11:30 precise, presso l'Aula Seminari "F. Saleri" VI piano, Dipartimento di Matematica, Politecnico di Milano, si svolgerà il seguente seminario:

Relatore
Matteo Iacopini, Università Ca’ Foscari Venezia

Titolo
Bayesian Dynamic Tensor Regression

Sommario
Multidimensional arrays (i.e. tensors) of data are becoming increasingly available and call for suitable econometric tools.
We propose a new dynamic linear regression model for tensor-valued response variables and covariates that encompasses some well known multivariate models such as SUR, VAR, VECM, panel VAR and matrix regression models as special cases.
For dealing with the over-parametrization and over-fitting issues due to the curse of dimensionality, we exploit a suitable parametrization based on the parallel factor (PARAFAC) decomposition which enables to achieve both parameter parsimony and to incorporate sparsity effects. Our contribution is twofold: first, we provide an extension of multivariate econometric models to account for both tensor-variate response and covariates; second, we show the effectiveness of proposed methodology in defining an autoregressive process for time-varying real economic networks.
Inference is carried out in the Bayesian framework combined with Monte Carlo Markov Chain (MCMC). We show the efficiency of the MCMC procedure on simulated datasets, with different size of the response and independent variables, proving computational efficiency even with high-dimensions of the parameter space. Finally, we apply the model for studying the temporal evolution of real economic networks.


Tutti gli interessati sono invitati a partecipare.

Cordiali saluti,
Laura Sangalli

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Laura Maria Sangalli
MOX - Dipartimento di Matematica
Politecnico di Milano
Piazza Leonardo da Vinci 32
20133 Milano - Italy
tel: +39 02 2399 4554
fax: +39 02 2399 4568
email: laura.sangalli at polimi.it<mailto:laura.sangalli at polimi.it>
url: http://mox.polimi.it/~sangalli

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