This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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56
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Type:
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Topic Contributed
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Date/Time:
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Sunday, August 1, 2010 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract - #306719 |
Title:
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Investigating Dependence in Multivariate Time Series
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Author(s):
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Hernando Ombao*+ and Mark Fiecas and Cristina Gorrostieta
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Companies:
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Brown University and Brown University and Brown University
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Address:
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, , 02912, USA
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Keywords:
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Multivariate signals ;
Partial coherence ;
Mutual information ;
Spectral analysis ;
multi-scale transforms
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Abstract:
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We develop multi-scale methods and models for characterizing, estimating and comparing dependence in multivariate non-stationary time series. This is motivated by a study on pediatric bipolar patients (led by D. Dickstein, Brown University) where one goal is to study the circuit involving the amygdala, accumbens, temporal and dorsolateral pre-frontal cortex - which are engaged in emotion regulation, decision making and attention. In this talk, we shall characterize dependence using a variety of multi-scale measures such as the evolutionary partial coherence, partial correlation and mutual information. We shall develop these measures under models of non-stationary time series that use localized transforms. We shall develop generalized shrinkage methods for estimation and randomization tests for comparing dependence between bipolar patients and healthy controls.
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