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Humboldt-Universität zu Berlin - IRI THESys

Dynamic semiparametric factor models

Petra Burdejova is a doctoral researcher at the Ladislaus von Bortkiewicz Chair of Statistics at Humboldt-University Berlin. Her research interests include modelling the dynamics extreme events using the techniques for reduction of dimensionality. She especially focuses on the dependencies of quantiles and expectiles with application to climate and financial data.

Statistics of extreme events plays a crucial role in various fields from biology

to economics. Moreover, this tail behaviour is very often driven by exogenous

components and may be modeled conditional on the other variables. Many of these phenomena are observed over time, exhibiting nontrivial dynamics, which makes the task of their modeling even more complex and challenging. For this purpose, we propose functional dynamic factor model to study the dynamics of expectile curves. The complexity of the model and number of dependent variables are reduced by lasso penalization. The functional factors serve as a low-dimensional representation of the conditional tail event, while the time variation is captured by factor loadings. In the future, we want to apply the model to financial data of intraday trading volume, considered in many trading strategies. Next, we want to examine the typhoon data, their hidden dependencies and dynamics over time. The future empirical study can be also extended with examples of analyses in customer demanding planning, climatology or neurobiology.

Petra, born in Slovakia, graduated in Probability, Math. Statistics and Econometrics from Charles University in Prague where she also obtained her Bachelor degree in General Mathematics. During her studies she worked 2 years as Portfolio Manager in a bank. Since January 2014, Petra Burdejova is a part collaborative research center 649, subproject B1 “Dynamic Semiparametric Modelling”. Summer semester 14/15 she spent as a trainee in ECB – Statistics division.



Petra Burdejova, Doctoral Researcher
THESys Graduate Program

Skype: petra_burdejova
E-mail: petra.burdejova@hu-berlin.de