Department Colloquium Summer 2022

Talks in the Summer Semester 2022

13 July 2022 14:30
Department Colloquium Summer 2022

At the Colloquium of the Department of Mathematics international researchers report on their work. The colloquium will be held on Wednesdays in "Hörsaal 3" (MI 00.06.011). We invite all interested parties.

Lecture dates in the summer semester 2022

13 July 2022: Martin Henk (14:30), Blanka Horvat (16:00)

27 July 2022: Martin Campos Pinto (14:30), Aleksey Min (16:00)

Topics at the Department Colloquium

All titles and abstracts will be published here shortly.

Stationary vine copula models for multivariate time series

Prof. Dr. Aleksey Min

27 July 2022, 16:00 - 17:00

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.

Further information can be found on the overview page of the Colloquium of the Department of Mathematics.