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14:30 - 17:00 29 July 2016
Structured Dynamic Graphical Models & Scaling Multivariate Time Series
The British Library
Gate 8 Midland Road, | London | NW1 2DB | United Kingdom
Mike West, visiting speaker from Duke University, discusses some of their recent R&D with dynamic statistical models for multivariate time series forecasting that represents a shift in modelling approaches in response to the coupled challenges of scalability and model complexity. Building “simple” and computationally tractable models of univariate time series is a starting point. Decouple/Recouple is an overlaid strategy for coherent Bayesian analysis: That is, “decouple” a high-dimensional system into the lowest-level components for simple/fast analysis; and then, “recouple”– on a sound theoretical basis– to rebuild the larger multivariate process for full/formal/coherent inferences and predictions.
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