S³: Robust Factor Analysis of Time Series with Long-Memory and Outliers: Application to Air Pollution data

Séminaire le 19 Février 2016, 10h30 à CentraleSupelec (Gif-sur-Yvette) Salle du conseil du L2S - B4.40
Valderio Anselmo Reisen

This paper considers the factor modeling for high-dimensional time series with short and long-memory properties and in the presence of additive outliers. For this, the factor model studied by Lam and Yao (2012) is extended to consider the presence of additive outliers. The estimators of the number of factors are obtained by an eigenanalysis of a non-negative definite matrix, i.e., the covariance matrix or the robust covariance matrix. The proposed methodology is analyzed in terms of the convergence rate of the number factors by means of Monte Carlo simulations. As an example of application, the robust factor analysis is utilized to identify pollution behavior for the pollutant PM10 in the Greater Vitoria region ( ES, Brazil) aiming to reduce the dimensionality of the data and for forecasting investigation.

Bio: Valderio Anselmo Reisen is full Professor of Statistics at the Federal University of Espirito Santo (UFES), Vitoria, Brazil. His main interests are time series analysis, forecasting, econometric modeling, bootstrap, robustness in time series, unit root processes, counting processes,  environmental and economic data analysis, periodically correlated processes, and multivariate time series.