[Forum SIS] Seminario Prof. Bassetti 30-11-15 ore 11.30

[Dip. Scienze Statistiche - Mi]

Il Dipartimento di Scienze Statistiche dell'Università Cattolica del Sacro Cuore ha organizzato un seminario, presentato dal Prof. Federico Bassetti, Università di Pavia, dal titolo:



Bayesian inference for panel AR(p) model with tree copula mixture innovations:

an Application to Energy Data



Lunedì 30 Novembre dalle ore 11,30

in Aula G 123



Università Cattolica del Sacro Cuore - Milano

Largo Gemelli,1 - Edificio Lanzone 18

Abstract:
Motivated by the study of the energy market, we propose a Bayesian analysis for a panel AR(p) model where the multivariate distribution of the innovations is described by a mixture of "tree-copula" distributions. In this way we can assume that the innovations of the AR(p) are marginally normally distributed, without assuming their joint normality. The use of these copulas allows us to capture in a flexible way the dependence structure of the data. Tree copulas are particular types of Markov tree distributions in which  the multivariate joint density is characterised through a suitable set of bivariate densities. We show that the fact that tree copulas rest on a simple graphical structure  allows for efficient MCMC methods for posterior computations.
Joint work (in progress) with E.Nicolino, E.De Giuli, C.Tarantola


Segreteria Organizzativa:
Barbara Villa
Dipartimento di Scienze statistiche
Edificio Via Lanzone, 18
Dip.scienzestatistiche at unicatt.it<mailto:Dip.scienzestatistiche at unicatt.it>
Tel. +39 02 7234 2647
Fax +39 02 7234 3064


Università Cattolica del Sacro Cuore
Largo Gemelli 1, 20123 Milano
www.unicatt.it<http://www.unicatt.it/>


 Please don't print this e-mail unless you really need to

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20151124/33fe164f/attachment-0001.html>
-------------- next part --------------
A non-text attachment was scrubbed...
Name: image001.jpg
Type: image/jpeg
Size: 2950 bytes
Desc: image001.jpg
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20151124/33fe164f/attachment-0001.jpg>