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Stat Colloquium [Virtual]: Dr. Tucker McElroy

U.S. Census Bureau



Date & Time

September 15, 2023, 11:00 am12:00 pm


Title:  A Framework for Time Series Aggregation and Seasonality Using Marked Point Processes

This project is concerned with modeling economic flow time series with possibly meager sampling rate, i.e., with very few economic transactions per epoch (or time period).  We study a quadratic Cox process, defined as a conditional Poisson random measure with intensity given by a squared Gaussian process. Basic properties, such as existence and void probabilities, are developed.  We examine flows of the quadratic Cox process, defined as the integral of a corresponding Marked point process over a time epoch, and derive the mean and covariance of such flows, demonstrating that common forms of temporal association in economic flow time series can be obtained through the choice of covariance function in the Gaussian intensity. We discuss applications such as seasonal adjustment and offer numerical illustrations of the meager property of such quadratic Cox processes.