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Mattias Villani: Spectral Subsampling MCMC for Stationary Multivariate Time Series

Time: Wed 2023-06-14 15.15 - 16.00

Location: Campus Albano, Room 41, house 2, floor 4

Participating: Mattias Villani, Stockholm University

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I will present how a multivariate generalisation of the Whittle likelihood can be used to accelerate MCMC/HMC sampling for stationary multivariate time series by subsampling matrix-valued periodogram observations in the frequency domain.  The methodology is illustrated and evaluated on a new multivariate generalisation of the autoregressive tempered fractionally integrated moving average model (ARTFIMA).