Agenda

02 Feb 2022 12:15

Matteo Iacopini - Bayesian Dynamic Tensor Regression

Meeting Room 1 (San Giobbe Economics Campus) + Live streaming (ZOOM)

Matteo Iacopini (TBA - University of Venice and Vrije Universiteit Amsterdam) - Bayesian Dynamic Tensor Regression

Abstract:
High- and multi-dimensional array data are becoming increasingly available. They admit a natural representation as tensors and call for appropriate statistical tools. We propose a new linear autoregressive tensor process (ART) for tensor-valued data, that encompasses some well-known time series models as special cases. We study its properties and derive the associated impulse response function. We exploit the PARAFAC low rank decomposition for providing a parsimonious parametrization and develop a Bayesian inference allowing for shrinking effects. We apply the ART model to time series of multilayer networks and study the propagation of shocks across nodes, layers and time.

The seminar can be attended also remotely, connecting to ZOOM: https://unive.zoom.us/j/83554924638

ID riunione: 835 5492 4638

Language

The event will be held in English

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