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UID:20250730T034622EDT-4168ja3iVL@132.216.98.100
DTSTAMP:20250730T074622Z
DESCRIPTION:\n	Title: Reduced-Rank Envelope Vector Autoregressive Models\n\n
 	 \n\n\nAbstract:\n\nClassical vector autoregressive (VAR) models have long
  been a popular choice for modeling multivariate time series data due to t
 heir flexibility and ease of use. However\, the VAR model suffers from ove
 rparameterization which is a serious issue for high-dimensional time serie
 s data as it restricts the number of variables and lags that can be incorp
 orated into the model. Several statistical methods have been proposed to a
 chieve dimension reduction in the parameter space of VAR models. Yet\, the
 se methods prove inefficient in extracting relevant information from compl
 ex datasets\, as they fail to distinguish between information aligned with
  scientific objectives and are also inefficient in addressing rank deficie
 ncy problems. Envelope methods\, founded on novel parameterizations that e
 mploy reduced subspaces to establish connections between the mean function
  and covariance matrix\, offer a solution by efficiently identifying and e
 liminating irrelevant information. In this presentation\, we introduce a n
 ew\, parsimonious VAR model that incorporates the concept of envelope mode
 ls into the reduced-rank VAR framework that can achieve substantial dimens
 ion reduction and efficient parameter estimation. We will present the resu
 lts of simulation studies and real data analysis comparing the performance
  of our proposed model with that of existing models in the literature.\n\n
 Speaker\n\nS. Yaser Samadi obtained his PhD in Statistics from the Univers
 ity of Georgia in 2014. He was a Research Fellow at SAMSI & Duke Universit
 y in 2020-2021. He is currently an Associate Professor at Southern Illinoi
 s University Carbondale\, IL.\n\nhttps://mcgill.zoom.us/j/2571023554\n\nMe
 eting ID: 257 102 3554\n\nPasscode: None\n
DTSTART:20231103T193000Z
DTEND:20231103T203000Z
LOCATION:Room 1104\, Burnside Hall\, CA\, QC\, Montreal\, H3A 0B9\, 805 rue
  Sherbrooke Ouest
SUMMARY:Seyed Yaser Samadi (Southern Illinois University)
URL:/mathstat/channels/event/seyed-yaser-samadi-southe
 rn-illinois-university-352349
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