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学术动态

【预告】唐炎林教授学术预告

来源: ag网站亚游登录:2019-10-24 作者: 浏览次数:

报告时间:2019年10月25日下午15:00

报告地点:科学会堂A602

报告题目:Copula-based semiparametric analysis for time series data with detection limits

报告摘要:

The analysis of time series data with detection limits is challenging due to the high-dimensional integral involved in the likelihood. Existing methods are either computationally demanding or rely on restrictive parametric distributional assumptions. We propose a semiparametric approach, where the temporal dependence is captured by parametric copula while the marginal distribution is estimated nonparametrically. Utilizing the properties of copulas, we develop a new copula-based sequential sampling algorithm, which provides a convenient way to calculate the censored likelihood. Even without full parametric distributional assumptions, the proposed method still allows us to efficiently compute the conditional quantiles of the censored response at a future time point, and thus construct both point and interval predictions. We establish the asymptotic properties of the proposed pseudo maximum likelihood estimator, and demonstrate through simulation and the analysis of a water quality data that the proposed method is more flexible and leads to more accurate predictions than Gaussian-based methods for non-normal data.

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