seminars:stat:09252015
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| + | <WRAP centeralign>##Statistics Seminar##\\ Department of Mathematical Sciences</WRAP> | ||
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| + | ~~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> | ||
| + | \\ | ||
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| + | <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. | ||
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| + | </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> | ||