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ANC SEMINAR: Coherence analysis of locally stationary multivariate time series. Idris Eckley

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Chair: Chris Williams

What
  • ANC/DTC Seminar
When Apr 21, 2015
from 11:00 AM to 12:00 PM
Where Room 4.31/4.33
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Abstract:

Data collection systems are widely used within our everyday lives. For example within the energy sector they are used to record process activity within energy generations sites. These loggers are capable of sampling data at high rates, at a number of locations and recording multiple process aspects at each location. Such series are typically non-stationary in nature, with potentially time-varying dependence between the various series components. 

In this talk I will review some recent work in this area which focuses on the modelling and estimation of the time-dependent coherence within locally stationary multivariate time series. In particular we focus on the challenge of identifying whether the dependence between a pair of components is direct or indirectly driven by other components of the series and demonstrate our approach on various sensor-based examples.

Joint work with Tim Park (Lancaster) and Hernando Ombao (UC Irvine).

http://www.lancaster.ac.uk/staff/eckley/index.html

Lunch will be provided