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Score-driven TEnsor Autoregressive DYnamical models

Project description

New non-linear and dynamic models to better analyse data structures

A data revolution has occurred in the last decade. In many fields, new models are needed to analyse multidimensional arrays of data called tensors. Current econometric models aren’t suitable for such data. They either simplify the problem too much or use models that are too static. The EU-funded STEADY project aims to develop new tensor models that account for the non-linear and dynamic features of economic data. It will therefore focus on developing a general class of dynamic time-series models as well as new tensor-based compression techniques for many economic time series. The project’s contributions will be applied to policy-relevant questions for central banks and financial regulators.

Call for proposal

H2020-MSCA-IF-2019
See other projects for this call

Coordinator

STICHTING VU
Address
De Boelelaan 1105
1081 HV Amsterdam
Netherlands
Activity type
Higher or Secondary Education Establishments
EU contribution
€ 175 572,48