Thu, October 6, 2011
All Day
209 W. Eighteenth Ave. (EA), Room 170
Title
Power laws in phase and coherency for bivariate long-memory time series
Speaker
Rebecca Sela, JP Morgan Chase
Abstract
Phase and coherency are two measures of the relationship between bivariate time series in the frequency domain. These measures can provide insights into bivariate time series that may not be obvious in the time domain. I will discuss phase and coherency in particular in the context of long memory time series, showing some of the peculiar behaviors of phase and coherency near frequency 0. (I will also discuss the completely unrelated topic of working at Chase.)