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--- seminars:stat:09252015 [2015/09/22 23:22] – shang
+++ seminars:stat:09252015 [2015/09/24 03:34] (current) – shang
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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>