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Lead Lag Relationship among High Dimensional Time Series
澳门新葡8455最新网站:2016年06月12日 00:00 点击数:

报告人:萧寒

报告地点:澳门新葡8455最新网站403室

报告澳门新葡8455最新网站:2016年06月27日星期一14:00-15:00

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报告摘要:

Multiple time series often exhibits lead-lag relationship among its component series. It is very challenging to identify this type of relationship when the number of series is large. We study the lead-lag relationship in the high dimensional context, using the maximum cross correlations and some other variants. Our result can also be used to test whether there is a correlation between two time series.

主讲人概况:

Employment: July 2011-present Assistant Professor, Department of Statistics and Biostatistics, Rutgers University. Education: 2011 Ph.D. in Statistics. The University of Chicago, USA. 2006 Master of Science. National University of Singapore, Singapore. 2003 Bachelor of Science in Mathematics. Peking University, China. Research Interests: Nonlinear and nonstationary time series, high dimensional data analysis, multivariate time series, algebraic statistics, random matrix theory.

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