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Avviso di seminario
UNIVERSITA' DI TRIESTE
DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE
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AVVISO DI SEMINARIO
Lunedì 29 aprile, alle ore 16.30, presso l'aula del
Dipartimento di Scienze Economiche e Statistiche ,
il PROF. JAN G.DE GOIJER
Department of Economic Statistics
University of Amsterdam
The Netherlands
terrà un seminario dal titolo:
"Modeling Vector Nonlinear Time Series Using POLYMARS"
Summary: A modified multivariate adaptive regression splines method for
modeling vector nonlinear time series is investigated. The method results
in models that can capture certain types of vector self-exciting threshold
autoregressive behavior, as well as provide good predictions for more
general vector nonlinear time series. The effect of different model
selection criteria on fitted models and predictions is evaluated through
simulation. The method is illustrated for a real data example, to model a
series of intra-day electricity loads in two neighboring Australian states.
La sede del Dipartimento di Scienze Economiche e Statistiche è:
Piazzale Europa, 1
34127 Trieste - Italia
tel :+39-0405587927 /0405587033
fax:+39-040567543
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Gabriella Schoier
Dipartimento di Scienze Economiche e Statistiche
Piazzale Europa, 1
34127 Trieste - Italia
tel :+39-0405587922
fax:+39-040567543
e-mail gabriella.schoier@econ.univ.trieste.it
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