[Forum SIS] annuncio di seminario al Politecnico di Milano

[Alessandra Guglielmi]

Si avvisa che in data 02/07/2019, alle ore 11:30, presso Aula seminari del terzo piano del Dipartimento Matematica, Politecnico di Milano (Edificio La Nave), si svolgerà il seguente seminario:

Titolo: Bayesian nonparametric sparse VAR models

Relatore: Luca Rossini, Vrije Universiteit Amsterdam, The Netherlands

Abstract:
High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR models that can improve estimation efficiency and prediction accuracy. Our hierarchical prior overcomes overparametrization and overfitting issues by clustering the VAR coefficients into groups and by shrinking the coefficients of each group toward a common location. Clustering and shrinking effects induced by the BNP-Lasso prior are well suited for the extraction of causal networks from time series, since they account for some stylized facts in real-world networks, which are sparsity, communities structures and heterogeneity in the edges intensity. In order to fully capture the richness of the data and to achieve a better understanding of financial and macroeconomic risk, it is therefore crucial that the model used to extract network accounts for these stylized facts.

contatto: Federico Bassetti (federico.bassetti at polimi.it)


Attenzione: a causa della ristrutturazione del campus Bonardi, l’ingresso del Dipartimento di Matematica è provvisoriamente posizionato in via Ponzio, tra il civico 31 e 33 (dal cancello scendere le scale e seguire le frecce con l’indicazione “entrata”)

Cordiali saluti

Federico e Alessandra
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