The established framework for modelling multivariate time series is the vector autoregression moving average (VARMA) models. This class of models requires a large set of parameters. We are interested in either sparse structures using statistical learning approaches such as graphical lasso or more parsimonious models such as the recently proposed ZAR models. We are interested in models for both analysis and forecasting. This is a broad area of research: the specific project will depend on the student's interests.

Does the project come with funding

No

Final date for receiving applications

Ongoing

Keywords

Time series analysis; statistical learning; graphical modelling