A1691
Title: Multivariate time series modeling for multiple subjects
Authors: Vladas Pipiras - University of North Carolina - Chapel Hill (United States) [presenting]
Abstract: The focus is on multivariate, possibly high-dimensional, time series modelling for multiple subjects. The time series could be large sparse vector autoregressions or dynamic factor models sharing common structures across the subjects. Several recent papers are discussed, touching upon methodological and computational issues, several applications, and theoretical challenges.
