Mathematical Sciences Department Statistics Seminar - Wiranthe Herath, Drake University "Reduced-rank envelope vector autoregressive model" (via Zoom: 99064789615)
11:00 am to 12:00 pm
Mathematical Sciences Department
Speaker: Wiranthe Herath, Drake University
Thursday, October 5, 2023
Zoom Link: https://wpi.zoom.us/j/99064789615
Zoom ID: 99064789615
Title: Reduced-rank envelope vector autoregressive model
Abstract: The classical vector autoregressive (VAR) models have been widely used to model multivariate time series data, because of their flexibility and ease of use. However, the VAR model suffers from overparameterization particularly when the number of lags and the number of time series get large. There are several statistical methods of achieving dimension reduction of the parameter space in VAR models. In this talk, we introduce the reduced-rank VAR model (Velu et al., 1986; Reinsel and Velu, 2013) which restricts the rank of the parameter matrix in one direction, and the envelope VAR model (Wang and Ding, 2018) which is another solution to overcome the overparameterization problem. Then, we propose a new parsimonious VAR model by incorporating the idea of envelope models into the reduced-rank VAR. We show the strength and efficacy of the proposed model through some simulation studies and an economic data set.
Organizing Committee: Frank Zou, Fangfang Wang, Tharindu De Alwis, and Nadeesha Jayaweera.