Basser Seminar Series

AdaptSpec Adaptive Spectral Estimation of Non-Stationary Time Series

Speaker: Professor Sally Wood
The University of Sydney Business School

When: Wednesday 10 September, 2014, 4:00-5:00pm

Where: The University of Sydney, School of IT Building, SIT Lecture Theatre (Room 123), Level 1

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Abstract

Many time series are non-stationary and the ease and rapidity of data capture means that researchers can now model the non-stationarity in a flexible manner.

The talk outlines an approach for analyzing possibly non-stationary time series. The data are assumed to be generated from an unknown but finite number of locally stationary processes. These locally stationary process are combined in a flexible manner to produce a non stationary time series. The method presented is flexible in the sense that a parametric data generating process is not assumed for the locally stationary series. The model is formulated in a Bayesian framework, and the estimation relies on reversible jump Markov chain Monte Carlo (RJMCMC) methods. The frequentist properties of the method are investigated by simulation, and applications to intracranial electroencephalogram (IEEG), the El Niño Southern Oscillation phenomenon and seismic traces, are described in detail.

Speaker's biography

Sally’s research interests lie mainly in Bayesian methodology. In particular the development of methods for the spectral analysis of time series, flexible models for panel and longitudinal data, Gaussian and non-Gaussian nonparametric regression, and the development of efficient algorithms for large datasets. Sally holds an ARC Future Fellowship (2104-2018) and is an associate investigator in the ARC’s centre of excellence Big Data, Big Models, Big Insights.

Her applied work includes modelling cognitive development and voltage fluctuations obtained from an intracranial electroencephalogram (IEEG). She also works with researchers in the Department of Psychology at the University of Sydney and in the Centre of Ethical Leadership at Ormond College to study the development of leadership in China.

Sally’s research papers have been published in Journal of the American Statistical Association, Journal of the Royal Statistical Society Series b, Biometrika, Journal of Computational and Graphical Statistics. She has been an invited and a regular speaker at international conferences such as the Institute of Mathematical Statistical (ISM) World Congress, MCMSki and the International Society for Bayesian Analysis (ISBA). She is on the editorial board for the journal Big Data Research.