Dimensionality Reduction and Inference in High-Dimensional Time Series
Maastricht University, July 5-6, 2021
On July 5-6, 2021
, the Online Workshop on Dimensionality Reduction and Inference in High-Dimensional Time Series will be organized.
This two-day workshop aims to provide a platform for exchanging and discussing the latest developments in econometrics and statistics on topics related to dimensionality reduction and inference in high-dimensional time series, including (but not limited to) issues related to post-selection inference, statistical learning, penalized regression methods, factor models and common features.
Invited lectures will be given by Matteo Barigozzi (University of Bologna), Anders Bredahl Kock (University of Oxford), Siem Jan Koopman (VU Amsterdam) and Marcelo Medeiros (Pontifical Catholic University of Rio de Janeiro).
The provisional programme can now be found here.
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