报告人：萧寒
报告地点：数学与统计学院403室
报告时间：2016年06月27日星期一14:00-15:00
邀请人：
报告摘要：
Multiple time series often exhibits 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. Our result can also be used to test whether there is a correlation between two time series.
主讲人简介：
Employment：
July 2011-present Assistant Professor, Department of Statistics and Biostatistics, Rutgers University.
Education：
2011 Ph.D. in Statistics. The University of Chicago, USA.
2006 Master of Science. National University of Singapore, Singapore.
2003 Bachelor of Science in Mathematics. Peking University, China.
Research Interests：
Nonlinear and nonstationary time series, high dimensional data analysis, multivariate time series,
algebraic statistics, random matrix theory.
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