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[Hedibert Lopes]

Greetings all! This week our seminar features Hedibert Lopes from Insper.
Details of the seminar are below.


*Seminar Date & Time: Thursday 18 February 2021 at 3:30 PM*
Zoom link:
https://virginiatech.zoom.us/j/85641594340?pwd=S1haUmI4cU1Fak5XTW9CQys5UVordz09

Meeting ID: 856 4159 4340
Password: statsrocks

*Speaker:* Hedibert Lopes, Insper

*Title: *Dynamic Ordering Learning in Multivariate Forecasting

*Abstract:* In many fields where the main goal is to produce sequential
forecasts for decision making problems, the good understanding of the
contemporaneous relations among different series is crucial for the
estimation of the covariance matrix. In recent years, the modified Cholesky
decomposition appeared as a popular approach to covariance matrix
estimation. However, its main drawback relies on the imposition of the
series ordering structure. In this work, we propose a highly flexible and
fast method to deal with the problem of ordering uncertainty in a dynamic
fashion with the use of Dynamic Order Probabilities. We apply the proposed
method in two different forecasting contexts. The first is a dynamic
portfolio allocation problem, where the investor is able to learn the
contemporaneous relationships among different currencies improving final
decisions and economic performance. The second is a macroeconomic
application, where the econometrician can adapt sequentially to new
economic environments, switching the contemporaneous relations among
macroeconomic variables over time.

-- 
Hedibert Freitas Lopes, PhD
Professor of Statistics and Econometrics
INSPER - Institute of Education and Research
Rua Quatá, 300 - São Paulo, SP 04546-042 Brazil
Phone: +55 11 4504-2343
www.hedibert.org
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