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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 - #306741 |
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Title:
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Dimension Reduction on Multivariate Time Series Data
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Author(s):
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Prabir Burman and Wolfgang Polonik and Yinhong Weng*+
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Companies:
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University of California at Davis and University of California at Davis and
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Address:
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6600 Orchard Park Circle, Davis, CA, 95616, United States
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Keywords:
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high dimensional ;
time series analysis ;
state-space model ;
auto-regressive model
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Abstract:
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Work with a data set of personal quarterly income for fifty states from 1969 to 2010. Propose a novel method to use as few parameters as possible to model the income series. Estimated the stochastic trend using state-space model and the variability of the series using auto-regressive model. Large sample properties and theoretical justifications for the consistency of this method are derived.
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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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