Abstract Details
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Activity Number:
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270
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Type:
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Invited
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Date/Time:
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Tuesday, August 5, 2014 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #310721
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View Presentation
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Title:
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Dynamic Models for Multivariate Time Serires of Count Data
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Author(s):
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Ruey S. Tsay*+
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Companies:
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ASA/IMS/ICSA
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Keywords:
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Poisson Process ;
Negative binomial ;
Factor model ;
Bayesian inference ;
High frequency data
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Abstract:
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Dynamic models for multivariate time series of count data are investigated. We consider factor models based on intensity as well as on common processes. Bayesian methods are used in estimation and model comparisons. We also consider the effects of explanatory variables to the multivariate series. Real examples are used to demonstrate the applications, including applications in high-frequency trading.
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Authors who are presenting talks have a * after their name.
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