[ABE-L] Seminário do Programa de Pós-Graduação em Estatística da UFPE - 2015

[Francisco Cysneiros]

Seminário do Programa de Pós-Graduação em Estatística da UFPE - 2015

"Wavelet-based copula estimation for time series"

Palestrante : Dra. Francyelle de Lima e Silva
Departamento de Estatística - UFPE

Joint work with Pedro A. Morettin and Clélia M.C. Toloi (IME-USP)

Data: 25 de novembro de 2015 (quarta-feira)

Horário: 16:00 horas

Local: Auditório Ruy Gomes - Departamento de Estatística da UFPE,
Segundo andar do CCEN

Resumo:

In the last years, the wavelet theory has been developed and applied in
many fields. In statistics, for example, we can use wavelet as a method for
nonparametric estimation of functions. In this context, knowing that
copulas are important tools for describing the dependence structure between
random variables and stochastic processes, recently some nonparametric
estimation procedures have been proposed using kernels and wavelets. In
this context, we propose a new copula estimator, in which the copula
function is estimated by direct expansion on wavelet bases for independent
data and times series, under α-mixing condition. The main feature of this
estimator is the copula function estimation without assumptions about the
data distribution and without ARMA - GARCH modeling, as often used in
parametric copula estimation. Convergence rates for the estimator were
computed, showing the estimator consistency. Some simulation studies were
made, as well as applications to real data sets.

-- 
Francisco José A. Cysneiros
Associate professor
Head of the Graduate Program in Statistics
Departament of Statistics - UFPE
www.de.ufpe.br/~cysneiros
*http:/lattes.cnpq.br/1313497098151734
<http://lattes.cnpq.br/1313497098151734>*
*ResearchedId G-633-2012 <http://www.researcherid.com/rid/G-6333-2012>*
*ORCID <http://orcid.org/0000-0001-6757-6969>*
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