The University of Arizona

On the maximum cross correlations under high dimension

On the maximum cross correlations under high dimension

Series: Statistics GIDP Colloquium
Location: Math 501
Presenter: Han Xiao, Department of Statistics and Biostatistics, Rutgers University

Multiple time series often exhibits cross lead-lag relationship among its component series. It is very challenging to identify this type of relationship when the number of series is large. We study the lead-lag relationship in the high dimensional context, using the maximum cross correlations and some other variants. Asymptotic distributions are obtained. We also use moving blocks bootstrap to improve the finite sample performance.

(Refreshments will be served.)

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