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seminars:stat:09252015 [2015/09/22 19:22]
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seminars:stat:09252015 [2015/09/23 23:34] (current)
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 +<WRAP centeralign>##​Statistics Seminar##\\ Department of Mathematical Sciences</​WRAP>​
 +
 +~~META:​title =September 25, 2015~~
 +<WRAP 70% center>
 +^  **DATE:​**|Friday,​ September 25, 2015 |
 +^  **TIME:​**|2:​30pm to 3:30pm |
 +^  **LOCATION:​**|WH 329 |
 +^  **SPEAKER:​**|Stanislav Volgushev, Cornell University |
 +^  **TITLE:**| Copula based spectral analysis. |
 +</​WRAP>​
 +\\ 
 +
 +<WRAP center box 80%>
 +<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.
 +
 +</​WRAP>​
 +<WRAP center 60%>
 +^  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|
 +</​WRAP>​