Probability Seminar
Thursday, November 17, 2022, 3:15pm, Zoom link
Vadim Gorin (UC Berkeley)
Cointegration, S&P, and random matrices
Abstract:
Cointegration is a property of an N-dimensional time series, which says that each individual component is non-stationary (growing like a random walk), but there exists a stationary linear combination. Testing procedures for the presence of cointegration has been extensively studied in statistics and economics, but most results are restricted to the case when N is much smaller than the length of the time series. I will discuss the recently discovered mathematical structures, which make the large N case accessible.

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