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CPD-164 Nonstationary Time Series: Techniques and Tools (Prof. Guy Nason)

  • 27 Apr 2023
  • 9:00 AM - 5:00 PM (AWST)
  • 139 St Georges Terrace, Perth, WA
  • 14

Registration

  • Discounted registration for SSA Members.
  • Registrations for those who are not members of SSA.
  • Discounted registration Student or Early Career Members of SSA.
  • Registrations for those who are students but not members of SSA.

Registration is closed

The WA Branch of the Statistical Society of Australia warmly invites you to a workshop on Nonstationary Time Series: Techniques and Tools, presented by Professor Guy Nason of Imperial College London, the Frank Hansford-Miller Fellow for 2023.

Date: Thursday, 27 April 2023.
Time: 9:00AM - 5:00PM.
Location: Curtin 139 St Georges Terrace, 139 St Georges Tce, Perth, WA.
Workshop webpage: https://statsocwa.github.io/2023-workshop-nonstationary-ts/

Abstract

This workshop covers the modelling and analysis of (second-order) nonstationary time series. That is, time series whose second-order properties (variance, autocovariance) can change over time. We will look at some models for nonstationary time series and study their controlling parameters. We will then examine methods for estimating those parameters and statistical tests that can be used to detect non-stationarity in such time series. In the second part we will look at methods for estimating local versions of the classical autocovariance and partial autocovariance, which can provide a lot of insight into the behaviour of the series over time. Finally, we will examine methods and software for forecasting such series and seeing how they compare to methods designed for stationary series. If time permits, we might examine some network time series models.

Prerequisites

Laptop with R installed. Attendees will be using the locits, lpacf and forecastLSW packages. The latter two packages will be available on CRAN shortly.

Schedule

 Time Session
09:00-09:30 Arrival and registration
09:30-11:00
[Session 1] Nonstationary Time Series: Models and Tests
11:00-11:30
Morning Tea (catered)
11:30-12:30
[Session 2] Practical on Spectral Estimation and Tests for Nonstationarity
12:30-14:00
Lunch (self-catered)
14:00-15:30
[Session 3] Local Autocovariance, Local Partial Autocovariance, and Forecasting
15:30-16:00
Afternoon Tea (catered)
16:00-17:00
[Session 4] Practical on Session 3 topics

About the Presenter

Professor Nason is Chair in Statistics at Imperial College London. He has undertaken research in the areas of wavelets and time series analysis, particularly in the area of non-stationary time series. A major current research direction is network time series in which he is involved in the NeSTProgramme Grant - a partnership of nine investigators at the six UK universities of Bath, Bristol, LSE, Oxford, York and Imperial.

Registration Information

This workshop will be conducted as an in-person event only. The registration fee includes morning and afternoon tea.

Category
Pricing
Student (SSA Member)
A$80
Student (Non-SSA member*)
A$120
SSA Member
A$150
General Admission
A$225
*Email proof of student status to the WA Branch Secretary to get the discount code. Alternatively, student membership of SSA is $20 p.a.

Venue directions

The venue is Curtin 139 St Georges Terrace located at 139 St Georges Terrace, Perth, WA 6000. The entrance is on the southern side of the building.

Public Transport

There are numerous bus routes along St Georges Terrace.

You may catch the train and disembark at the Elizabeth Quay station and then walk through Brookfield Place to 139 St Georges Terrace (about 500m).

Car Parks

There is no on-site parking, the closest public car parks are:

  • Central Park, 152-158 St Georges Terrace, Perth.

  • His Majesty’s, 377 Murray Street, Perth.

  • Citipark (Wilson Parking), 427 Murray Street, Perth.

  • Convention Centre, 21 Mounts Bay Rd and Mitchell Freeway, Perth.

Registration

This event is open to all but for catering purposes, registration is essential.

Note that this is an in-person event with no hybrid or online interaction.

For further information please contact the WA Branch Secretary (ssa.wa.secretary@gmail.com).

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