The Statistics and Econometrics seminar series is jointly organised between the Departments of Statistics and Economics and takes place once per term..
2019/2020, Spring Term
Date: Thursday, February 13 at 2pm
Room: OC0.01 (Oculus)
Speaker: Roberto Casarin - University Ca' Foscari, Venice
Title: Bayesian Dynamic Tensor Regression (joint with Billio, M., Iacopini, M., and Kaufmann, S.)
Abstract: High- and multi-dimensional array data are becoming increasingly available. They admit a natural representation as tensors and call for appropriate statistical tools. We propose a new linear autoregressive tensor process (ART) for tensor-valued data, that encompasses some well-known time series models as special cases. We study its properties and derive the associated impulse response function. We exploit the PARAFAC low rank decomposition for providing a parsimonious parametrization and develop a Bayesian inference allowing for shrinking effects. We apply the ART model to time series of multilayer networks and study the propagation of shocks across nodes, layers and time.
Refreshments will be served after the event.