CMStatistics 2018: Winter Course

2018 CRoNoS Winter Course on Time Series

Dates: 11-12 December 2018.
Venue: Polo Economia, University of Pisa.
Room: Aula Magna
Speakers:
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

Grants

PhD students and Early Career Investigators (who have obtained their PhD degree in 2011 or after) from eligible COST countries* can apply for a limited number of grants. The granted participants will be reimbursed up to 500 Euro for accommodation and travelling plus the standard registration fee.

In order to apply for the grants candidates should submit their CV by e-mail to cronos.cost@gmail.com.
Deadline for applications: 15th July 2018.
Granted candidates will be informed by e-mail after the deadline and must send their flight tickets and accommodation booking 7 days after the notification to cronos.cost@gmail.com to secure their grants. Otherwise, their grants will be revoked and assigned to other candidate.
The granted candidates must attend all the sessions of the Winter Course and sign the attendance list in order to obtain their grants.

*Eligible COST countries: Austria, Belgium, Bosnia and Herzegovina, Bulgaria, Croatia, Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Israel, Italy, Latvia, Lithuania, Luxembourg, Malta, Montenegro, The Netherlands, Norway, Poland, Portugal, Romania, Serbia, Slovakia, Slovenia, Spain, Sweden, Switzerland, Turkey, United Kingdom and the former Yugoslav Republic of Macedonia.

The granted candidates must attend all the sessions of the course in order to obtain their grants.

Organizers and sponsors

Organized by the CRoNos COST Action IC1408 represented by
Erricos J. Kontoghiorghes and Ana Colubi.

Sponsored by COST

Tentative Programme

Tuesday, 11 December 2018

10:45 – 11:00 Registration and opening
11:00 – 12:30 Session 1.1 - Module I
12:30 – 14:00 Lunch break
14:00 – 16:00 Session 1.2 - Module I
16:00 – 16:30 Coffee break
16:30 – 18:30 Session 1.3 - Module I

Wednesday, 12 December 2018

09:00 – 11:00 Session 2.1 - Module II
11:00 – 11:30 Coffee break
11:30 – 12:30 Session 2.2 - Module II
12:30 – 14:00 Lunch break
14:00 – 16:00 Session 2.3 - Module II
16:00 – 16:30 Coffee break
16:30 – 18:30 Session 2.4 - Module II

Module I. Frequency domain methods for time series analysis

Lecturer: Prof. Alessandra Luati, University of Bologna, Italy.
Sessions 1.1 to 1.3.
Duration: 5.5 hours.

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.

Module II. Introduction to VAR modelling

Lecturer: Prof. Peter Winker, University of Giessen, Germany.
Sessions 2.1 to 2.4.
Duration: 7 hours.

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).