User Tools

Site Tools


Statistics Seminar
Department of Mathematical Sciences

DATE:Friday, September 25, 2015
TIME:2:30pm to 3:30pm
SPEAKER:Stanislav Volgushev, Cornell University
TITLE: Copula based spectral analysis.


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.

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
seminars/stat/09252015.txt · Last modified: 2015/09/23 23:34 by shang