Tuesday, August 13, 2019 — 4:00 PM EDT

Spatial Cauchy processes with local tail dependence


We study a class of models for spatial data obtained using Cauchy convolution processes with random indicator kernel functions. We show that the resulting spatial processes have some appealing dependence properties including tail dependence at smaller distances and asymptotic independence at larger distances. We derive extreme-value limits of these processes and consider some interesting special cases. We show that estimation is feasible in high dimensions and the proposed class of models allows for a wide range of dependence structures.

Thursday, September 26, 2019 (all day)

Hans Föllmer

Humboldt University Berlin

Date: Thursday September 26, 2019

Title: TBD

Location: TBD

Wednesday, October 16, 2019 (all day)

Xiao-Li Meng

Harvard University

Date: Thursday October 16, 2019

Title: TBD

Location: TBD

Friday, October 18, 2019 — 8:00 AM to Saturday, October 19, 2019 — 5:00 PM EDT
First student conference in Statistics, Actuarial Science, and Finance

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