Econometrics Seminar: Qiwei Yao, London School of Economics and Political Science

Speaker: Qiwei Yao, London School of Economics and Political Science (https://www.lse.ac.uk/statistics/people/qiwei-yao)

Title: Autoregressive networks and stylized features

Abstract: We give a brief introduction on the autoregressive (AR) model for dynamic network processes. The model depicts the dynamic changes explicitly. It also facilitates simple and efficient statistical inference such as MLEs and a permutation test for model diagnostic checking. We illustrate how this AR model can serve as a building block to accommodate more complex structures such as stochastic latent blocks, change-points. We also elucidate how some stylized features often observed in real network data, including node heterogeneity, edge sparsity, persistence, transitivity and density dependence, can be embedded in the AR framework. Then the framework needs to be extended for dynamic networks with dependent edges, which poses new technical challenges. Illustration with real network data for the practical relevance of the proposed AR framework is also presented.

The talk is related to 3 papers:

https://jmlr.org/papers/volume24/22-0845/22-0845.pdf

https://arxiv.org/abs/2305.12643

https://arxiv.org/abs/2404.15654

Host: Guðmundur Stefán Guðmundsson

Organisers: Leopoldo Catania and Mikkel Sølvsten