Modeling Nonstationarities in Energy Time Series

• Activity Number: 285
• Type: Invited
• Date/Time: Tuesday, August 6, 2013 : 8:30 AM to 10:20 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Idris Eckley*+
• Companies: Lancaster University
• Keywords: locally stationary processes ; wavelets ; time series ; energy

Abstract

Many observed time series are not stationary, though they may often be successfully modelled using locally stationary series. This non-stationary structure can become more complicated when one considers a multivariate time series setting, due to interdependence between the various component series. We will consider the problem of coherence estimation within such locally stationary multivariate time series and demonstrate various questions arising from the energy sector which might be appropriately answered by such an approach.