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CRiSM Seminar - Rebecca Killick (Lancaster), Peter Green (Bristol)

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Location: B1.01 (Maths)

Rebecca Killick (Lancaster)
Forecasting locally stationary time series
Within many fields forecasting is an important statistical tool. Traditional statistical techniques often assume stationarity of the past in order to produce accurate forecasts. For data arising from the energy sector and others, this stationarity assumption is often violated but forecasts still need to be produced. This talk will highlight the potential issues when moving from forecasting stationary to nonstationary data and propose a new estimator, the local partial autocorrelation function, which will aid us in forecasting locally stationary data. We introduce the lpacf alongside associated theory and examples demonstrating its use as a modelling tool. Following this we illustrate the new estimator embedded within a forecasting method and show improved forecasting performance using this new technique.

Peter Green (Bristol)
Inference on decomposable graphs: priors and sampling
The structure in a multivariate distribution is largely captured by the conditional independence relationships that hold among the variables, often represented graphically, and inferring these from data is an important step in understanding a complex stochastic system. We would like to make simultaneous inference about the conditional independence graph and parameters of the model; this is known as joint structural and quantitative learning in the machine learning literature. The Bayesian paradigm allows a principled approach to this simultaneous inference task. There are tremendous computational and interpretational advantages in assuming the conditional independence graph is decomposable, and not too many disadvantages. I will present a new structural Markov property for decomposable graphs, show its consequences for prior modelling, and discuss a new MCMC algorithm for sampling graphs that enables Bayesian structural and quantitative learning on a much bigger scale than previously possible. This is joint work with Alun Thomas (Utah).

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