Fakultätskolloquium Sommer 2022

Vorträge im Sommersemester 2022

13. Juli 2022 14:30
Fakultätskolloquium im Sommer 2022

Beim Fakultätskolloquium der Mathematik berichten internationale Forscher*innen von ihrer Arbeit. Das Kolloquium an der Fakultät für Mathematik findet in loser Folge mittwochs im Hörsaal 3 (MI 00.06.011) statt. Alle Interessierten laden wir herzlich ein.

Vortragstermine im Sommersemester 2022

  • 13. Juli 2022: Martin Henk  (14:30), Blanka Horvath (16:00)
  • 27. Juli 2022: Martin Campos Pinto (14:30), Aleksey Min (16:00)

Themen beim Fakultätskolloquium

Alle Titel und Abstracts finden Sie in Kürze hier.

Stationary vine copula models for multivariate time series

Prof. Dr. Aleksey Min

27. Juli 022, 14:30 - 15:30

Prof. Dr. Aleksey Min

Copulas are multivariate distribution functions with uniformly distributed margins on the unit interval [0,1]. Despite their simplicity, they are very helpful for modeling a dependence structure of multivariate data in applied science. In the talk, I outline a flexible construction of copulas using graphical models vines. Recently, the so-called vine copulas are successfully used to model univariate and multivariate time series. A time series consists of multiple observations indexed by time. Classical time series models allow for only linear dependence between variables and time points. Vine copulas can conveniently capture cross-sectional and temporal dependence of multivariate time series. In the talk, I derive the maximal class of graph structures that guarantee stationarity under a natural and verifiable condition. I also discuss computationally efficient methods for estimation, simulation, and prediction. The theoretical results allow for misspecified models and, even when specialized to the iid case, go beyond what is available in the literature. The talk is based on the joint work with Thomas Nagler and Daniel Krüger.

Weitere Informationen erhalten Sie auf der Übersichtsseite zum Fakultätskolloquium.