50th Anniv. Seminar Series on 'Network vector autoregression' by Dr. Xuening ZHU
posted by Department of Statistics and Actuarial Science for HKU and Public
Event Type: Public Lecture/Forum/Seminar/Workshop/Conference/Symposium
Event Nature: Science & Technology
DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
THE UNIVERSITY OF HONG KONG
50th Anniversary Seminar Series
Dr. Xuening ZHU
Department of Statistics
Pennsylvania State University
will give a talk
NETWORK VECTOR AUTOREGRESSION
We consider here a large-scale social network with a continuous response observed for each node at equally spaced time points. The responses from different nodes constitute an ultra-high dimensional vector, whose time series dynamic is to be investigated. In addition, the network structure is also taken into consideration, for which we propose a network vector autoregressive (NAR) model. The NAR model assumes each node’s response at a given time point as a linear combination of (a) its previous value, (b) the average of its connected neighbors, (c) a set of nodespecific covariates, and (d) an independent noise. The corresponding coefficients are referred to as the momentum effect, the network effect, and the nodal effect respectively. Conditions for strict stationarity of the NAR models are obtained. In order to estimate the NAR model, an ordinary least squares type estimator is developed, and its asymptotic properties are investigated. We further illustrate the usefulness of the NAR model through a number of interesting potential applications. Simulation studies and an empirical example are presented.
|Venue||Room 301, Run Run Shaw Building, HKU|
Registration is not required.