Dear all,
We would like to invite you to the following talk:
Thursday 29th February at 15:00
Room 24 (fourth floor), Dipartimento di Scienze Statistiche (Ed. CU002), Sapienza University
Speaker: Refik Soyer (George Washington University (US))
Title: Latent Factor Multivariate Integer-Valued AR Processes
Abstract: We introduce a new class of multivariate integer-valued autoregressive (INAR) models based on the notion of a common random environment. Dependence among the components of the multivariate time series is induced via the common environment that follows a Markovian evolution. The proposed framework provides us with a dynamic multivariate generalization of the univariate INAR processes. We develop a Markov chain Monte Carlo method as well as a particle learning algorithm for Bayesian inference. We consider an extension of the model to handle zero inflated time-series data and illustrate the proposed class of models using actual multivariate count data and discuss their predictive performance. (Joint work with Di Zhang, Expedia, US and Hedibert Lopes, INSPER, Brazil)
Best regards.
Luisa Beghin and Fabio Spizzichino
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Luisa Beghin
Dipartimento di Scienze Statistiche
Fac. Ingegneria dell'Informazione, Informatica e Statistica
"SAPIENZA" Università di Roma
Piazzale Aldo Moro 5, 00185 Roma
T (+39) 06 49910543 F (+39) 06 4959241
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