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.
Generated at 11:38am Thursday, March 28, 2024 by Mcal. Top
* Reload
* Login