Multivariate Time Series Analysis and Applications

About the author

William W.S. Wei is a Professor of Statistical Science at Temple University in Philadelphia, Pennsylvania, United States of America. He earned his BA in Economics from the National Taiwan University (1966), BA in Mathematics from the University of Oregon (1969), and M.S. (1972) and Ph.D. (1974) in Statistics from the University of Wisconsin, Madison. From 1982 to 1987, he was the Chair of the Department of Statistics at Temple University. He has been a Visiting Professor at many universities including the Nankai University in China, National University of Colombia in Colombia, Korea University in Korea, National Sun Yat‐Sen University, National Chiao Tung University, and National Taiwan University in Taiwan, and Middle East Technical University in Turkey. His research interests include time series analysis, forecasting methods, high dimensional problems, statistical modeling, and their applications. He has developed new methodologies in seasonal adjustment, aggregation and disaggregation, outlier detection, robust estimation, and vector time series analysis. Some of his most significant contributions include extensive research on the effects of aggregation, methods of measuring information loss due to aggregation, new stochastic procedures of performing data disaggregation, model‐free outlier detection techniques, robust methods of estimating autocorrelations, statistics for analyzing multivariate time series, and dimension reduction for high‐dimensional time ...