Invitation for the 2nd Prof V S Huzurbazar Memorial Lecture, 2024
Sharvari Shukla
Greetings from Symbiosis Statistical Institute!
The faculty, staff, students and alumni of Symbiosis Statistical Institute take this opportunity to invite you to the 2nd Prof V S Huzurbazar memorial lecture scheduled on 13th December 2024 at 1.00pm in the Vishwabhavan Auditorium, S B Road, Pune.
Prof Sujit Ghosh, Department of Statistics, NC State University, Raleigh, USA (https://ci.lib.ncsu.edu/profiles/sghosh2) has kindly consented to grace the occasion and present a lecture based on his current research.
Please join us at Symbiosis Vishwabhavan, SB Road followed by an event. Attached is a formal invite for your reference.
Registration is complimentary however appreciate a line of confirmation for smooth conduct of the event.
Looking forward to your esteemed presence.
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The details of the talk is as follows-
Title: Multivariate Dependence Beyond Correlations: A Novel Copula Model
Abstract:
In the field of climate, finance, insurance, and system reliability, it is often of interest to measure the dependence among variables by modeling a multivariate distribution using a copula. The copula models with parametric assumptions are relatively easy to estimate but can be highly biased when such assumptions are false, while the empirical copulas are non-smooth and often not genuine copula, making the inference about dependence challenging in practice. As a compromise, the empirical Bernstein copula provides a smooth estimator, but the estimation of tuning parameters remains elusive. In this talk, by using the so-called empirical checkerboard copula, a hierarchical empirical Bayes model is presented that enables the estimation of a smooth copula function for arbitrary dimensions. An additional benefit is that the proposed copula estimator provides a more accurate estimate of several multivariate dependence measures, which can be obtained in closed form. An application to portfolio risk management is presented, along with a quantification of estimation uncertainty and numerical illustrations using simulated data sets.
Peace,
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Sharvari Shukla, PhD
Director and Professor
Symbiosis Statistical Institute (SSI)
A 106, ICC Trade Tower 403A, International Convention Centre,
Senapati Bapat Road,
Pune-411016
Tel: 020 25630180
Web: www.ssi.edu.in
