• A
  • A
  • A
  • АБB
  • АБB
  • АБB
  • А
  • А
  • А
  • А
  • А
Обычная версия сайта
Контакты

Адрес: Покровский бульвар, д. 11, корпус T, Москва, 109028

Тел.: (+7495) 580-89-19

E-mail: icef@hse.ru

Как добраться >>

Руководство
заместитель директора по академическим вопросам Замков Олег Олегович
Заместитель директора по по науке Никитин Максим Игоревич

Научный семинар Johannes Ledolter (University of Iowa)

В понедельник, 15 июня в 16.40 в ауд. 3211 (ул. Шаболовка, 26) прошел научный семинар МИЭФ.
Докладчик: Johannes Ledolter (University of Iowa)
Тема доклада: "Forecasting Simultaneously High-Dimensional Time Series: A Robust Model-Based Clustering Approach"


Тезисы доклада: This paper considers the problem of forecasting high-dimensional time series. It employs a robust clustering approach to perform classification of the component series. Each series within a cluster is assumed to follow the same model and the data are then pooled for estimation. The classification is model-based and robust to outlier contamination. The robustness is achieved by using the intrinsic mode functions of the Hilbert–Huang transform at lower frequencies. These functions are found to be robust to outlier contamination. The paper also compares out-of-sample forecast performance of the proposed method with several methods available in the literature. The other forecasting methods considered include vector autoregressive models with=without LASSO, group LASSO, principal component regression, and partial least squares. The proposed method is found to perform well in out-of-sample forecasting of the monthly unemployment rates of 50 US states. Copyright © 2013 John Wiley & Sons, Ltd.

Приглашаются все желающие.

Для оформления пропуска в ВШЭ свяжитесь с нами:
по тел. 772-95-90*26090 
e-mail: vzheleznov@hse.ru


Предстоящие семинары МИЭФ

Прошедшие семинары МИЭФ