COLLOQUIUM ON THE STATISTICAL SCIENCES
THE SCHOOL OF STATISTICS
University of the Philippines
invites all students and faculty to a colloquium on
Robust Estimation in Clustered Multiple Time Series
with Structural Change
to be given by
Erniel B. Barrios
School of Statistics, University of the Philippines Diliman
Tuesday, 17 May 2016
4:00 p.m.
UPSS Auditorium
ABSTRACT
We postulate a model for clustered multiple time series where individual and cluster-specific
effects were represented by random components. Structural change is also considered assuming
that it occur only in the autoregressive parameter. To induce robustness during episodes of
temporary structural change, we use the forward search and bootstrap methods in the backfitting
algorithm to estimate the parameters. Simulation studies show that the resulting models possess
high predictive ability especially in long time series where structural change usually occur.
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Key phrases: : multiple time series, clustering, structural change, forward search, bootstrap
About the author:
DR. BARRIOS is a Professor at the School of
Statistics, University of the Philippines
Diliman.