text_combined: class proposal yannis hi vince yannis weather desk planning develop relationship prof rene carmona weather analysis start planning pay prof carmona give training class outlined want know research willing send people bear part costs talk 4 00 pm doubt getting people outside present new ideas always important interesting think research group members easily give talks apparently people interested topics willing pay listen thought intent develop relationships fine research group also given opportunity provide training get visibility already communicated joe yannis vasant forwarded vasant shanbhogue hou ect 03 05 2001 10 40 yannis tzamouranis enron enronxgate 03 05 2001 10 01 vasant shanbhogue hou ect ect cc subject tentative course description day 1 extreme value distriutions copulas 1 heavy tail distributions exploratory data analysis detection extreme value distributions generalized pareto distributions estimation simulation practical examples 2 notions dependence copulas estimation simulation experiments program evanece day 2 principal component analysis modern regression 1 principal component analysis applications yield curve detection contagion financial markets 2 nonlinear regression construction yield curves 3 nonparametric regression kernel projection pursuit methods alternatives black scholes formula option pricing day 3 time series analysis examples temperature time series used introduce illustrate following concepts techniques 1 removing trends seasonal components stationarity 2 fitting classical autoregressive moving average models 3 discretization stochastic differential equations 4 multivariate time series day 4 nonlinear systems filtering 1 arch garch stochastic volatility models 2 linear state space models classical kalman filter 3 nonlinear systems particle filtering 4 applications