Seminar: Probabilistic Inference for Changepoints and Cointegration

SpeakerChris Bracegirdle
AffiliationUCL (CS)
DateFriday, 26 Apr 2013
Time12:30 - 14:00
LocationMalet Place Eng 1.03
Event seriesDeepMind CSML Seminar Series
Description

In this talk I will present my PhD work - first on Bayesian generative models for time-series with changepoints, showing the complexity of exact inference. Second, I will describe work on cointegrated time series, including an approach to estimating the regression coefficients of cointegrated series based on a Bayesian generative model, which seeks to overcome the bias of the traditional OLS estimator for these non-stationary series. I show how the cointegration model can be effective for detecting simple cointegration between series and moreover, by application of changepoint inference, also for intermittent cointegration - allowing for periods when cointegration is "switched off".

Slides for the talk: PDF

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