[ABE-L] Ciclo de Palestras online com Hedibert Freitas Lopes

[Lizandra Castilho Fabio]

*Ciclo de Palestras online do Departamento de Estatística da UFBA*

Palestrante: Hedibert Freitas Lopes (INSPER)

Title: Sparse and Time-varying Covariance Modeling
CV: http://lattes.cnpq.br/7679840055825288

Abstract: In many areas there has been a growing interest in developing
methods that can estimate dependency of multivariate time series data.
Nevertheless, the estimation of a high-dimensional covariance matrix which
potentially varies over time is still an open problem. In this work, we
discuss several bayesian regularization methods based on shrinkage and
variable selection priors and estimate sparse covariance matrices using the
modified Cholesky decomposition. Our first application considers
time-varying observational variances (stochastic volatility) and uses the
Normal-Gamma prior for shrinking the regression coefficients that compose
the Cholesky factor. The second application considers homoscedastic errors
and time varying regression coefficients which are shrunken by applying an
extension of the Normal Mixture of Inverse Gammas (NMIG) hierarchical prior
for dynamic models, which accommodates time varying sparsity.

Data: 25/08/2017
 Hora: 11hs
Local: Auditório do IME para aqueles que desejam acompanhar de forma
presencial.

O link para acompanhar a palestra é
https://www.youtube.com/channel/UCC96Rmc3qKEYkKk187IcLdA/live
E todos que estiverem acompanhando de forma online poderão enviar dúvidas
pelo chat da transmissão, pois as perguntas serão repassadas para o Prof.
Hedibert Freitas Lopes.


Essa atividade tem coordenação de Lizandra C. Fabio (lizandra.fabio em ufba.br)
e Bruno Santos (brunorsantos em ufba.br), caso queiram enviar comentários ou
sugestões sobre as palestras.
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