Data Science Academic Seminar

21 Apr 2015


Speaker: Idris Eckley, Deputy Director of the STOR-i Doctoral Training Centre, Lancaster University

Title: Coherence analysis of locally stationary multivariate time series


Date: Tuesday 21 April 2015

Time: 11:00-12:00

Location: 4.31/4.33 Informatics Forum, University of Edinburgh

Chair: Chris Williams, Director of the CDT in Data Science, University of Edinburgh


Data collection systems are widely used within our everyday lives. For example within the energy sector they are used to record process activity within energy generations sites. These loggers are capable of sampling data at high rates, at a number of locations and recording multiple process aspects at each location. Such series are typically non-stationary in nature, with potentially time-varying dependence between the various series components. In this talk I will review some recent work in this area which focuses on the modelling and estimation of the time-dependent coherence within locally stationary multivariate time series. In particular we focus on the challenge of identifying whether the dependence between a pair of components is direct or indirectly driven by other components of the series and demonstrate our approach on various sensor-based examples Joint work with Tim Park (Lancaster) and Hernando Ombao (UC Irvine).

Lunch will be provided after the seminar.

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