Statistics Seminar: Kostas Fokianos
Wednesday 23 January 2019, 1:30pm to 2:30pm
Venue
DSI Space (B78 InfoLab21)Open to
Postgraduates, Staff, UndergraduatesRegistration
Registration not required - just turn upEvent Details
Seminar by Prof. Kostas Fokianos (Lancaster)
Title: Testing independence for multivariate time series via the auto-distance correlation matrix
Abstract:
There has been a considerable recent interest in measuring dependence by employing the concept of distance covariance function, a new and appealing measure of dependence for random variables. This tool has been recently extended to time series analysis but since then a limited number of works are discussing its properties. Distance covariance and its normalized form, the so-called distance correlation can identify interesting links among the data, whereas the traditional correlation coefficient cannot unless the data are Gaussian and/or linearly related. We extend the notion of distance covariance to multivariate time series by defining its matrix version. The information contained in this matrix is useful for identifying any possible relationships within and between the time series components. Based on this new concept, we introduce a multivariate Ljung-Box type test statistic with an increasing number of lags, suitable for testing independence.
Speaker
Professor Konstantinos Fokianos
Mathematics and Statistics, Lancaster University
Contact Details
Name | Dr Alex Gibberd |
Telephone number |
+44 1524 595068 |