
<WRAP centeralign>##Statistics Seminar##\\ Department of Mathematical Sciences</WRAP>

~~META:title =September 25, 2015~~
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^  **DATE:**|Friday, September 25, 2015 |
^  **TIME:**|2:30pm to 3:30pm |
^  **LOCATION:**|WH 329 |
^  **SPEAKER:**|Stanislav Volgushev, Cornell University |
^  **TITLE:**| Copula based spectral analysis. |
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<WRAP centeralign>**Abstract**</WRAP>
In this talk we discuss an alternative method for the spectral analysis of a strictly stationary time series. We define a "new" spectrum as the Fourier transform of the differences between copulas of the pairs with lag k and the independence copula. This object is called copula spectral density kernel and allows separating marginal and serial aspects of a time series. The copula spectral density kernel is substantially more informative than the "classical" spectral density obtained from the auto-covariances. In particular, it provides a complete description of the distributions of all pairs with arbitrary lag. We introduce a way to estimate of copula spectral density kernels, comment on the asymptotic properties of the proposed estimator, and discuss several possible extensions.

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^  Itinerary  ||
|  9:00 - 11:00 | Zuofeng Shang|
|  11:00 - 11:30 | Qiqing Yu|
|  11:30 - 12:00 | Ganggang Xu |
|  12:00 - 1:00 | Lunch |
|  2:30 - 3:30| Talk |
|  3:30 -|Break|
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