School of Economics

 Invites you to a

Econometrics seminar presented by

Yanrong Yang

(Australian National University)

Eigen-analysis of High-dimensional Time Series

Wednesday 24 May 2023

2.00pm – 3.30pm

Level 6 Seminar Room (650)

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

Zoom: 868 3386 1672

 Sample covariance matrices play an important role in statistical inference for high-dimensional time series. Under a general data structure, we study asymptotic properties of spiked empirical eigenvalues and corresponding eigenvectors. Based on the established theory, we further propose a novel approach to distinguishing four styles of high-dimensional time series with different strength of cross-sectional dependence and time-serial dependence. At last, finite sample performances on simulated data and US mortality data are illustrated.

For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar