IRTG 1792/1: High Dimensional Non Stationary Time Series

The training program will be run in close collaboration with the Wang Yanan Institute for Studies in Economics, Xiamen University, the first official "Econometrics Key Lab" in China. Berlin students will be trained together with Xiamen students, will be jointly supervised by both Berlin and Xiamen scholars and have to attend the Xiamen course program for at least one semester. The IRTG is a joint initiative of Humboldt-Universit?t and Xiamen University, China. Starting in 2013, the IRTG will fund three cohorts of five to six 3-year scholarships. The doctoral students will be trained in the necessary statistical and mathematical foundations and can specialize in various advanced topics in statistics and econometrics. In their doctoral dissertation, they are supposed to focus on recent developments and corresponding applications in high-dimensional time series modelling and forecasting, dimension reduction techniques, covariance estimation and nonparametric analysis. The IRTG is a joint initiative of Humboldt-Universit?t and Xiamen University, China.