A special feature of Probability and Statistics Day at UMBC 2014 is that the conference, including the workshop, is open to all statistics graduate students
from UMBC and local universites free of charge; however, REGISTRATION IS REQUIRED! The deadline to register is Friday,
April 11, 2014. // REGISTER NOW
For more information, contact any member of the organizing committee:
Bimal Sinha
Conference Chair
443.538.3012
Kofi Adragni
410.455.2406
Yvonne Huang
410.455.2422
Yaakov Malinovsky
410.455.2968
Thomas Mathew
410.455.2418
Nagaraj Neerchal
410.455.2437
DoHwan Park
410.455.2408
Junyong Park
410.455.2407
Anindya Roy
410.455.2435
Elizabeth Stanwyck
410.455.5731
Participant Information
Peter Linton
Paper: Estimation of Causal Invertible VARMA Models
We Present a convenient parameterization of a common multivariate time-series model: The Vector Autoregressive Moving Average. I demonstrate fitting the model with both Maximum Likelihood Estimation and Bayesian Methods, under the constraints that the model is both causal and invertible. The main advantage of our parameterization is that it estimates entirely within the stationary parameter space, which is not the case with other VARMA estimation methods.
