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Abstract Details
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Activity Number:
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38
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Type:
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Contributed
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Date/Time:
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Sunday, July 29, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305537 |
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Title:
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Coherence Estimation and Dimension Reduction in Multivariate Nonstationary Time Series
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Author(s):
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Timothy Park*+ and Idris Eckley and Hernando Ombao
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Companies:
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Lancaster University and Lancaster University and University of California at Irvine
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Address:
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, Lancaster, _, LA1 4YF, United Kingdom
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Keywords:
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non-stationary ;
multivariate time series ;
coherence
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Abstract:
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The collection of multivariate time series is becoming increasingly common, not only in sensor-based industrial systems but also in everyday consumer products such as smart phones. Typically such series can contain numerous components and are characterised by a non-stationary structure. In other words the auto- and cross-covariance structure can vary from one time period within and across series. In this talk we focus on the problem of coherence estimation and develop novel and computationally efficient approaches to dimension reduction.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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