Stat Talk at UMBC
Location
Sondheim Hall : 105
Date & Time
September 25, 2015, 10:30 am – 11:30 am
Description
Speaker:
Dr. S. Yaser Samadi
Dr. S. Yaser Samadi
Southern Illinois
University Carbondale
Title:
Multiple
Multivariate Time Series Models
Abstract:
Many
data sets in many scientific areas deal with multiple sets of multivariate time
series. While single univariate and single vector time series are well developed
in the literature, multiple sets of multivariate time series have not yet been
studied. Therefore, a class of matrix time series models is introduced for
dealing with the situation where there are multiple sets of multivariate time
series data. Explicit expressions for a matrix autoregressive model of order p
along with its cross-autocorrelation functions are derived. Parameters of the
proposed matrix time series model are estimated by ordinary and generalized least
square method, maximum likelihood estimation, and Bayesian methods.
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