05.06.2018; Kolloquium

Kolloquium - Ostap Okhrin "Statistik ist Überall / Estimations of the Hierarchical Archimedean Copula"

18:15 - 19:45 Uhr
Festsaal der Fakultät Wirtschaftswissenschaft, Hülsse-Bau, 3. Etage Nordflügel
Helmholtzstr. 10, 01069 Dresden
Ostap Okhrin (TU Dresden)

Abstract "Statistik ist überall":
Why some board games are very interesting for children, whereas others are extremely boring? Who is the target audience of the film "Twilight"? How is the weather going to be tomorrow or the day after tomorrow? How in January next year? Who is genetically closer related: pigeon and parrot or eagle and falcon? Can a writer be identified by the style of writing? This talk will take you on a journey through statistics.

Abstract "Estimations of the Hierarchical Archimedean Copula"
We discuss several estimators, of the hierarchical Archimedean copulas. In one, we propose the estimation of parametric hierarchical Archimedean copula while imposing an implicit penalty on its structure. Asymptotic properties of this sparse estimator are derived and issues relevant for the implementation of the estimation procedure are discussed. In the other method we propose the estimator, that uses cluster algorithm in order to obtain the structure and the parameters. Third method is based on the maximum likelihood technique. This talk is based on the several papers together with Y. Okhrin, W. Schmid, A. Ristig, A. Tetereva.

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Uta Schwarz
Letzte Änderung: 27.03.2018