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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

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International Research Training Group 1792

“High Dimensional Nonstationary Time Series”


The International Research Training Group (IRTG) 1792 “High Dimensional Nonstationary Time Series” offers outstanding young researchers a full-time, internationally competitive doctoral program with a unifying research focus and financial support in the form of scholarships. With its participating faculty, the IRTG represents all major academic institutions of statistics and economics in Berlin and Xiamen: Humboldt-Universität zu BerlinXiamen UniversityFreie Universität Berlin, C.A.S.E.WISE, WIAS and DIW. The Deutsche Forschungsgemeinschaft (German Research Foundation) finances the scholarship and the overall program of IRTG is part of its program "Graduiertenkolleg".


The IRTG's doctoral program is based on the unifying research theme "High Dimensional Nonstationary Time Series", and its focus is on identifying low dimensional factors that help to forecast and understand dynamic aspects of possibly non stationary economic data in high dimension. The doctoral program combines demanding course work and a particularly early start of individual research. The course and research program are held entirely in English. The IRTG works in close cooperation with the Berlin Doctoral Program in Economics and Management Science (BDPEMS) and the Research Training Group 1659 (RTG1659).


The group's research agenda “High Dimensional Nonstationary Time Series” studies in particular the applied economics and finance involved with high-dimensional data and complex dynamic structures. The main research fields include, but are not limited to:

  1. high dimensionality
  2. non-stationary
  3. time varying dependency


The program funds up to around ten excellent doctoral students with the necessary background per year. The students will receive the researcher position that is financed by the German Research Foundation (DFG-Graduiertenkolleg) and Xiamen University. The recipients are selected competitively from all applicants based on academic excellence and research interest. The program does not charge tuition fees.

Upon entering the research program, students receive supportive and systematic supervision. The aim of supervision is to prepare students for independent research as quickly as possible. Students leave the program after completing a dissertation consisting of three research papers. They are expected to present their work in local workshops and at international conferences and to disseminate it initially in the program’s working paper series and ultimately in international, peer-reviewed journals. The program's final goal is international placement of its graduates at top academic institutions. The program provides financial assistance to achieve this goal. The program’s placement director and a career platform support the graduates in their next career step.

Doctoral students

  1. are taught the state-of-the-art knowledge of theoretical and applied statistics  that is essential at the frontier of statistical research.
  2. get a profound overview of the current fields of research in high dimensional non stationary time series.
  3. start their own independent research as soon as possible and present their progress regularly in front of faculty members and colleagues.
  4. get in touch with the international research community in statistics and economics.