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

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.

Authors who are presenting talks have a * after their name.

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