[ABE-L] Ciclo de Palestras PPG Estatística UFRJ (Rodrigo Targino - 25/05 às 15:30h)

[Viviana Lobo]

Prezados,
dando continuidade ao Ciclo de Palestras do Programa de Pós-Graduação
em Estatística do IM-UFRJ, *na próxima 4a feira, 25/05/2022, às 15:30*,
teremos a palestra do professor:

*Palestrante: Rodrigo Targino (EMap/FGV)*
*Título: Transform MCMC schemes for sampling intractable factor copula
models*

In financial risk management, modelling dependency within a random vector X
is crucial, a standard approach is the use of a copula model. Say the
copula model can be sampled through realizations of Y having copula
function C: had the marginals of Y been known, sampling X^(i) , the i-th
component of X, would directly follow by composing Y^(i) with its
cumulative distribution function (c.d.f.) and the inverse c.d.f. of X^(i).
In this work, the marginals of Y are not explicit, as in a factor copula
model. We design an algorithm which samples X through an empirical
approximation of the c.d.f. of the Y marginals. To be able to handle
complex distributions for Y or rare-event computations, we allow Markov
Chain Monte Carlo (MCMC) samplers. We establish convergence results whose
rates depend on the tails of X, Y and the Lyapunov function of the MCMC
sampler. We present numerical experiments confirming the convergence rates
and also revisit a real data analysis from financial risk management.
Joint work with Cyril Bénézet and Emmanuel Gobet

https://hal.archives-ouvertes.fr/hal-03334526
As palestras ocorrem *de forma presencial *às quartas-feiras às 15:30h na
sala B106B bloco B, do Centro de Tecnologia, Ilha do Fundão da Universidade
Federal do Rio de Janeiro.

Contamos com a presença de vocês.
Atenciosamente,
Viviana Lobo
--
Viviana G R Lobo
Professora Adjunta
Departamento de Métodos Estatísticos
Universidade Federal do Rio de Janeiro
Instituto de Matemática
gabinete C109-A - Bloco C - CT
https://sites.google.com/a/dme.ufrj.br/viviana/
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