Recent Advances and Trends in Time Series Analysis: Nonlinear Time Series, High Dimensional Inference and Beyond

Videos from BIRS Workshop 14w5157

, Colorado State University
- 16:00
Functional framework for high frequency financial data with focus on regression and predictability of intraday price curves
Watch video | Download video: 201404281529-Kokoszka.mp4 (76M)
, Boston University
- 09:29
Multivariate limit theorems involving short-range and long-range dependence
Watch video | Download video: 201404290900-Taqqu.mp4 (107M)
, University of Ottawa
- 11:02
Asymptotics for Causal Linear Fields
Watch video | Download video: 201404291030-Ivanoff.mp4 (80M)
, Technical University of Braunschweig (Germany)
- 11:31
Baxter's inequality and sieve bootstrap for random fields
Watch video | Download video: 201404291102-Kreiss.mp4 (71M)
, TELECOM ParisTech (France)
- 14:02
Constrained Hawkes processes for modeling limit order books
Watch video | Download video: 201404291330-Roueff.mp4 (79M)
, University of Pittsburgh
- 14:32
Adaptive Spectral Estimation for Nonstationary Time Series
Watch video | Download video: 201404291403-Stoffer.mp4 (78M)
, Texas A & M University
- 15:05
Thresholded Generalized Principal Component Regression: Forecasting with Many Predictors
Watch video | Download video: 201404291433-Pourahmadi.mp4 (85M)
, Zhejiang University (China)
- 16:00
On weak convergence of stochastic processes to stochastic integrals
Watch video | Download video: 201404291528-Lin.mp4 (88M)
, University of Zagreb (Croatia)
- 16:31
On heavy tailed time series and functional limit theorems
Watch video | Download video: 201404291600-Basrak.mp4 (76M)
, Clemson University
- 17:01
Renewal Methods of Generating Stationary Count Time Series
Watch video | Download video: 201404291632-Lund.mp4 (91M)
, University of Copenhagen (Denmark)
- 09:31
Convergence of the largest eigenvalues in a sample covariance matrix for multivariate time series
Watch video | Download video: 201404300900-Mikosch.mp4 (71M)
, University of Virginia (United States)
- 10:01
High-dimensional autocovariance matrices and optimal linear prediction
Watch video | Download video: 201404300933-McMurry.mp4 (84M)
, Ruhr University (Germany)
- 11:00
Robust Change-Point Tests for Time Series
Watch video | Download video: 201404301030-Dehling.mp4 (65M)
, University of Texas at Dallas
- 11:31
Bayesian and asymptotically pointwise optimal change-point detection in multivariate time series
Watch video | Download video: 201404301100-Baron.mp4 (87M)
, University of Calgary
- 10:02
Dependent Extremes
Watch video | Download video: 201405010933-Chen.mp4 (92M)
, University of Toronto
- 11:00
Inference of weighted V-statistics for nonstationary time series and its applications
Watch video | Download video: 201405011030-Zhou.mp4 (89M)
, Ruhr University (Germany)
- 11:26
Bootstrap for dependent Hilbert space-valued random variables
Watch video | Download video: 201405011100-Wendler.mp4 (63M)
, Iowa State University
- 14:01
Nordman
Watch video | Download video: 201405011330-Nordman.mp4 (71M)
, London School of Economics (United Kingdom)
- 14:33
Modelling multivariate financial returns using changepoint-induced multiscale bases
Watch video | Download video: 201405011401-Fryzlewicz.mp4 (80M)
, University College London (United Kingdom)
- 15:01
Whittle likelihood for nonstationary bivariate processes
Watch video | Download video: 201405011433-Olhede.mp4 (83M)
, University of Western Ontario (Canada)
- 09:32
Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity
Watch video | Download video: 201405020900-Mamon.mp4 (73M)