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Activity Number: 55 - Memorial Session for Ted Anderson
Type: Invited
Date/Time: Sunday, July 30, 2017 : 4:00 PM to 5:50 PM
Sponsor: Memorial
Abstract #322119 View Presentation
Title: T. W. Anderson's Contributions to Time Series
Author(s): Soren Johansen*
Companies: University of Copenhagen
Keywords: Time series analysis, Markov chains, ARMA models, Reduced rank regression ; Factor analysis of time series
Abstract:

T.W. Anderson contributed many important results to time series analysis. This lecture will explore some of his contributions, in particular those to Markov chains and maximum likelihood procedures for AR and ARMA models, which are now an important part of the classical body of knowledge in the field. Anderson's early work in reduced rank regression turned out to be of importance in cointegration, a field that he also contributed to, and his work on factor analysis of time series is important for generalized factor models for forecasting and analyzing high-dimensional time series.


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