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Statistics Seminar
Department of Mathematical Sciences
DATE: | Friday, September 25, 2015 |
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TIME: | 2:30pm to 3:30pm |
LOCATION: | WH 329 |
SPEAKER: | Stanislav Volgushev, Cornell University |
TITLE: | Copula based spectral analysis. |
Abstract
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.
Itinerary | |
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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 |