Event Date
Speaker: Riccardo Rastelli (Lecturer/Assistant Professor, University College Dublin - visiting UC Davis)
Title: "A latent position model for multivariate time series analysis"
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.
Bio: Dr Riccardo Rastelli is a lecturer in statistics at the School of Mathematics and Statistics, University College Dublin, since 2018. He was previously postdoc researcher at the Vienna University of Economics and Business (2017-2018), and he received a PhD in statistics from University College Dublin (2017). His research focuses on the statistical analysis of networks, with a focus on computational problems, Bayesian inference and clustering. In his research, he investigates problems and applications in various fields, including financial systemic risk, social and political sciences, and the analysis of biological networks.
Faculty Website (links to Univ. College Dublin): https://people.ucd.ie/riccardo.rastelli
Seminar Date/Time: Thursday, January 9th, 2025 at 4:10pm
Location: MSB 2112 (2nd floor, Math dept). Refreshments 3:30pm, MSB 4110 (4th floor)