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Matt Nunes, Fylde College Lancaster Print
Friday, 10 May 2013, 14:30 - 15:30

Matt Nunes, Fylde College Lancaster

Modelling and Forecasting of Network Time Series

Abstract: In this talk we consider the problem of forecasting time series that are observed at each node of a large (spatial) network structure. Such problems commonly appear in a vast array of fields, such as environmental or energy time series. The nodal series potentially evolve according to the inherent spatial structure. The new methodology we develop hinges on reducing dimensionality of the original data through a change of basis. The basis we propose is a second generation wavelet basis which operates on spatial structures. As such, the (large) observed data is replaced by data over a reduced network topology. The proposed methodology allows for computationally feasible spectral estimation and forecasting of the time series on the original network.

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