Statistics
Department of Mathematics & Statistics
Te Tari Pāngarau me te Tatauranga

Upcoming seminars in Statistics

Seminars in Mathematics
Correlated failures in multicomponent systems

Richard Arnold

Victoria University Wellington

Date: Thursday 4 May 2017
Time: 11:00 a.m.
Place: Room 241, 2nd floor, Science III building

Multicomponent systems may experience failures with correlations amongst failure times of groups of components, and some subsets of components may experience common cause, simultaneous failures. We present a novel, general approach to model construction and inference in multicomponent systems incorporating these correlations in an approach that is tractable even in very large systems. In our formulation the system is viewed as being made up of Independent Overlapping Subsystems (IOS). In these systems components are grouped together into overlapping subsystems, and further into non-overlapping subunits. Each subsystem has an independent failure process, and each component's failure time is the time of the earliest failure in all of the subunits of which it is a part.

This is joint work with Stefanka Chukova (VUW) and Yu Hayakawa (Waseda University, Tokyo)
170110163825
Finding true identities in a sample using MCMC methods

Paula Bran

Department of Mathematics and Statistics

Date: Thursday 11 May 2017
Time: 11:00 a.m.
Place: Room 241, 2nd floor, Science III building

Abstract to follow
170202102134
The CBOE SKEW

Jin Zhang

Department of Accountancy and Finance

Date: Thursday 18 May 2017
Time: 11:00 a.m.
Place: Room 241, 2nd floor, Science III building

The CBOE SKEW is an index launched by the Chicago Board Options Exchange (CBOE) in February 2011. Its term structure tracks the risk-neutral skewness of the S&P 500 (SPX) index for different maturities. In this paper, we develop a theory for the CBOE SKEW by modelling SPX using a jump-diffusion process with stochastic volatility and stochastic jump intensity. With the term structure data of VIX and SKEW, we estimate model parameters and obtain the four processes of variance, jump intensity and their long-term mean levels. Our results can be used to describe SPX risk-neutral distribution and to price SPX options.
170110164745
Hidden Markov models for incompletely observed point processes

Amina Shahzadi

Department of Mathematics and Statistics

Date: Thursday 25 May 2017
Time: 11:00 a.m.
Place: Room 241, 2nd floor, Science III building

Abstract to follow
170111085822
Twists and trends in exercise science

Jim Cotter

School of Physical Education, Sport and Exercise Sciences

Date: Thursday 1 June 2017
Time: 11:00 a.m.
Place: Room 241, 2nd floor, Science III building

Abstract to follow
170202102235