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主題： Copula Structured M4 Processes with Application to High-Frequency Financial Data

主講人：張正軍教授 （美國威斯康辛大學(xué)統(tǒng)計(jì)系教授）

時間：2015年6月29日（周一）下午16:00-17:00

地點(diǎn)：北院卓遠(yuǎn)樓305

主辦單位：統(tǒng)計(jì)與數(shù)學(xué)學(xué)院

摘要：Statistical applications of classical parametric max-stable processes are still sparse mostly due to lack of 1) efficiency of statistical estimation of many parameters in the processes, 2) flexibility of concurrently modeling asymptotic independence and asymptotic dependence among variables, and 3) capability of fitting real data directly. This paper studies a more flexible model, i.e. a class of copula structured M4 (multivariate maxima and moving maxima) processes, and hence CSM4 for short. CSM4 processes are constructed by incorporating sparse random coefficients and structured extreme value copulas in asymptotically (in)dependent M4 (AIM4) processes. As a result, the new model overcomes all of the aforementioned constraints. The paper illustrates these new features and advantages of the CSM4 model using simulated examples and real data of intra-daily maxima of high-frequency financial time series. The paper also studies probabilistic properties of the proposed model, statistical estimators and their properties. (This presentation is based on a joint work with Bin Zhu)

張正軍教授簡介：統(tǒng)計(jì)學(xué)博士,，美國威斯康星大學(xué)麥迪遜分校統(tǒng)計(jì)系教授。研究領(lǐng)域包括金融時間序列分析,、極值理論,、金融風(fēng)險(xiǎn)分析、貝葉斯統(tǒng)計(jì)等,。目前擔(dān)任美國威斯康星大學(xué)統(tǒng)計(jì)系副主任,、招生委員會主任、國際商務(wù)及經(jīng)濟(jì)期刊Journal of Business & Economic Statistics,、國際概率統(tǒng)計(jì)期刊JKSS,、Statistics and Its Interface等多個國際SCI期刊副主編。