Event Date
Speaker: Shelton Peiris, School of Mathematics and Statistics, University of Sydney; visiting professor of Statistics, UC Davis
Title: "Generalised Long Memory Time Series and Applications: An Overview"
Abstract: Analysis of long memory time series became very popular among the theoretical and applied researchers in the last 2-3 decades due to its flexibility in many applications in almost every field. In this paper, a particular attention has been paid to the development of Generalised Long Memory time series generated by Gegenbauer polynomials and Autoregressive Moving Average (ARMA) models. Several estimation methods will be discussed with applications in various fields will be presented. A multivariate or vector extension to GARMA family (ie. Vector GARMA or VEGARMA) will be introduced along with the relevant theoretical properties and applications.
Keywords: Time Series, Long memory, Generalised long memory, Vector models, Hybrid, Forecasting.
*Joint work with David Allen, Richard Hunt, and Adel Gadhi
About: Shelton Peiris is currently at the department of Statistics, University of California Davis and visiting from the School of Mathematics and Statistics where he holds a regular academic position. He is an elected member of ISI, ASA and a Fellow of the Royal Statistical Society. In the past, Professor Peiris published papers with many world renowned academics including Professor C.R.Rao. His main research area is Mathematical Statistics, Time Series Analysis, Financial Econometrics and related topics. He has published many significant papers in theoretical and applied aspects of time series in reputable journals related to his field. Due to his significant contributions to academia, the University of Gadjah Mada, Indonesia recognised him as a World Class Professor.
Currently he is an associate editor of the Journal of Statistical Computations and Simulation and was a co-editor of “Time Series Analysis and Econometrics with Applications", a special issue of Mathematics (ISSN 2227-7390).
Faculty website (links to University of Sydney): https://www.maths.usyd.edu.au/ut/people?who=MS_Peiris&sms=y
Seminar Date/Time: Thursday December 5, 2024 at 4:10pm
Location: MSB 1147 (Colloquium Room).
Refreshments 3:30pm. MSB Courtyard (will be in MSB 4110 if raining)