Online Program

Statistical Learning and Energy Statistics for High-Dimensional Time Series (308381)

*John Steven Schuler, George Mason University 

Keywords: LASSO,Time Series,Econometrics, pro jec- tion pursuit regression, Copulas, Energy Statistics

Multiple time series are commonly used in econo- metrics. These methods present serious difficul- ties in high dimensions as the number of param- eters will tend to overwhelm any finite data set. We propose a way of using statistical learning methods to model high dimensional time series. The methods used are the LASSO, projection pursuit regression, and copulas. These provide a way to linking nonparametric univariate esti- mates into multivariate models using informa- tion from energy statistics.