Aula Seminari DESF, Cubo 0/C, Piano terra
SEMINARIO 13-02-2024: “Joint Circular Distributions in View of Higher Order Spectra"
Relatore: Prof. Masanobu TANIGUCHI, Waseda University, Tokyo, Japan
Il Dipartimento di Economia, Statistica e Finanza è lieto di invitarvi al seminario sul tema:
"Joint Circular Distributions in View of Higher Order Spectra"
Relatore: Prof. Masanobu TANIGUCHI, Waseda University, Tokyo, Japan
Data e ora: Martedì 13 febbraio 2024, ore 11:00
Luogo: Aula Seminari DESF, Cubo 0/C, Piano terra.
Abstract: We introduce a class of joint circular distributions from the higher order spectra of time series, which can describe very general joint circular distributions, and we can develop the statistical inference for dependent observations on the circle. We present a family of distributions on the circle derived from the ARMA spectral density. For some special cases, the normalizing constant and trigonometric moments are shown to have simple and closed form. We develop the asymptotic optimal inference theory based on the local asymptotic normality (LAN) on the circle. Because the observations are permitted to be dependent, the theory opens a new paradigm in the estimation for joint circular distributions. Because we introduced very general joint circular distributions, we can discuss the problem of copula for them.
(Joint work with S. Kato, H. Ogata, A Pewsey)
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