Abstract Details
Activity Number:
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476
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 12, 2015 : 8:30 AM to 10:20 AM
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Sponsor:
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International Chinese Statistical Association
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Abstract #316800
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Title:
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Lead-Lag Relationship Among High-Dimensional Time Series
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Author(s):
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Han Xiao*
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Companies:
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Rutgers University
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Keywords:
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multiple time series ;
high dimensional statistics ;
lead-lag relationship ;
extreme value theory
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Abstract:
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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.
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Authors who are presenting talks have a * after their name.
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