Recent Advances and Trends in Time Series Analysis: Nonlinear Time Series, High Dimensional Inference and Beyond
Videos from BIRS Workshop
Piotr Kokoszka, Colorado State University
Monday Apr 28, 2014 15:29 - 16:00
Functional framework for high frequency financial data with focus on regression and predictability of intraday price curves
Murad Taqqu, Boston University
Tuesday Apr 29, 2014 09:00 - 09:29
Multivariate limit theorems involving short-range and long-range dependence
Gail Ivanoff, University of Ottawa
Tuesday Apr 29, 2014 10:30 - 11:02
Asymptotics for Causal Linear Fields
Jens-Peter Kreiss, Technical University of Braunschweig (Germany)
Tuesday Apr 29, 2014 11:02 - 11:31
Baxter's inequality and sieve bootstrap for random fields
Francois Roueff, TELECOM ParisTech (France)
Tuesday Apr 29, 2014 13:30 - 14:02
Constrained Hawkes processes for modeling limit order books
David Stoffer, University of Pittsburgh
Tuesday Apr 29, 2014 14:03 - 14:32
Adaptive Spectral Estimation for Nonstationary Time Series
Mohsen Pourahmadi, Texas A & M University
Tuesday Apr 29, 2014 14:33 - 15:05
Thresholded Generalized Principal Component Regression: Forecasting with Many Predictors
Zhengyan Lin, Zhejiang University (China)
Tuesday Apr 29, 2014 15:28 - 16:00
On weak convergence of stochastic processes to stochastic integrals
Bojan Basrak, University of Zagreb (Croatia)
Tuesday Apr 29, 2014 16:00 - 16:31
On heavy tailed time series and functional limit theorems
Robert Lund, University of California - Santa Cruz
Tuesday Apr 29, 2014 16:32 - 17:01
Renewal Methods of Generating Stationary Count Time Series
Thomas Mikosch, University of Copenhagen (Denmark)
Wednesday Apr 30, 2014 09:00 - 09:31
Convergence of the largest eigenvalues in a sample covariance matrix for multivariate time series
Timothy McMurry, University of Virginia (United States)
Wednesday Apr 30, 2014 09:33 - 10:01
High-dimensional autocovariance matrices and optimal linear prediction
Herold Dehling, Ruhr University (Germany)
Wednesday Apr 30, 2014 10:30 - 11:00
Robust Change-Point Tests for Time Series
Michael Baron, University of Texas at Dallas
Wednesday Apr 30, 2014 11:00 - 11:31
Bayesian and asymptotically pointwise optimal change-point detection in multivariate time series
Gemai Chen, University of Calgary
Thursday May 1, 2014 09:33 - 10:02
Dependent Extremes
Zhou Zhou, University of Toronto
Thursday May 1, 2014 10:30 - 11:00
Inference of weighted V-statistics for nonstationary time series and its applications
Martin Wendler, Ruhr University (Germany)
Thursday May 1, 2014 11:00 - 11:26
Bootstrap for dependent Hilbert space-valued random variables
Dan Nordman, Iowa State University
Thursday May 1, 2014 13:30 - 14:01
Nordman
Piotr Fryźlewicz, London School of Economics (United Kingdom)
Thursday May 1, 2014 14:01 - 14:33
Modelling multivariate financial returns using changepoint-induced multiscale bases
Sofia Olhede, EPFL
Thursday May 1, 2014 14:33 - 15:01
Whittle likelihood for nonstationary bivariate processes
Rogemar Mamon, University of Western Ontario (Canada)
Friday May 2, 2014 09:00 - 09:32
Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity
