Speaker |
Chris Bracegirdle |
|---|---|
Affiliation |
UCL (CS) |
Date |
Friday, 26 April 2013 |
Time |
12:30-14:00 |
Location |
Zoom |
Link |
Malet Place Eng 1.03 |
Event series |
Jump Trading/ELLIS CSML Seminar Series |
Abstract |
In this talk I will present my PhD work - first on Bayesian generative models for time-series with changepoints, showing the complexity of exact inference. Second, I will describe work on cointegrated time series, including an approach to estimating the regression coefficients of cointegrated series based on a Bayesian generative model, which seeks to overcome the bias of the traditional OLS estimator for these non-stationary series. I show how the cointegration model can be effective for detecting simple cointegration between series and moreover, by application of changepoint inference, also for intermittent cointegration - allowing for periods when cointegration is "switched off". Slides for the talk: PDF |
Biography |