Network time series in continuous time: modelling and estimation

Network time series in continuous time: modelling and estimation Cover image

This project will design new continuous-time NeST models starting from continuous-time network AR and moving average processes and later progressing to more advanced models including multiple network settings. The theoretical properties of such novel models will be developed, and a suitable statistical inference framework will be designed, implemented and tested. Statistical theory currently only exists for basic settings and significant effort is needed for more general ones. This project will interact closely with the related projects in the NeST programme by jointly addressing the challenge of designing methods for dealing with non-stationarities, exogenous variables, local stationarity and long memory. 

Our Research

See other projects

02

Autoregressive network models with stylized features of network data

We will propose several dynamic network models based on a simple AR(1) network framework. The setting depicts the dynamic changes for network edges e

Learn more Learn more button
03

Modelling and forecasting dynamic networks via their edges

This project is being led by Professor Marina Knight (University of York) and Professor Qiwei Yao (LSE). Networks that arise in fields such as biology

Learn more Learn more button
Email subscription

Stay up to date with our events