We are delighted to announce the next of our NeST Online Seminar Series.

Wednesday 6th November 2024, 4pm (London time)

Title: A latent position model for multivariate time series analysis
Speaker: Dr. Ricardo Rastelli (University College Dublin)

Abstract:

Multivariate time series models can suffer from overparameterization and difficult interpretability of the model parameters. In this talk, I will introduce a new statistical framework where we combine some recent network models with vector autoregressive models. The network approach is based on latent variables and, in particular, on a latent space visualization of the time series data. This formulation enables a parsimonious dependency structure and it provides new model-based visualizations of the data. In addition, the temporal aspects of the time series are naturally modeled using dynamic networks models. Hence, I will go through different variants of the proposed model, characterizing some of its properties and highlighting its performance on simulated datasets. Finally, I will propose a study on the number of recorded mumps cases in England during the last decade.

For further details, please contact the online seminar organiser a.modell@imperial.ac.uk for further information and/or the link to the seminar.

The full programme can be found here: https://amodell.me/nest_seminar