Dates: 11-12 December 2018.
Venue: Polo Economia, University of Pisa.
Room: Aula Magna
Prof. Alessandra Luati, University of Bologna, Italy.
Prof. Peter Winker, Justus-Liebig-University Giessen, Germany.
Link with tutorials: Modules III and IV will constitute the tutorials of the joint CFE-CMStatistics conference. Participants to the conference can register separately for the tutorials and for Modules I and II.
Participants will be expected to have their own laptop with the latest versions of R installed.
A link with some material will be provided to the students
Organized by the CRoNos COST Action IC1408 represented by
Erricos J. Kontoghiorghes and Ana Colubi.
Sponsored by COST
Tuesday, 11 December 2018
Wednesday, 12 December 2018
Summary: The course gives an overview of the recent methods for time series analysis in the frequency domain. The lectures are structured in three parts that address, in first instance, the spectral analysis of stationary stochastic processes. Second, methods for non stationary processes are considered. Specifically, the focus is on the analysis of locally stationary processes. Finally, recent advances are illustrated, such as generalised autocovariances and spectral models, along with their applications.
Summary: The course will provide an introduction to multivariate time series modelling with Vector Autoregressive Models (VAR). The presentations are at basic to intermediate level and address participants with elementary background in statistics and interest in applying VAR modeling. All sessions will include practical parts based on R. Therefore, participants should bring their own computer with a functional R implementation and editor for coding (e.g. RStudio).