PhD Position Mathematical Statistics

The Department of Applied Mathematics in the Faculty of Electrical Engineering, Mathematics and Computer Science at the Delft University of Technology is seeking a hardworking PhD candidate

The goal of this position is to advance the state of the art and develop new theory and methodology for dependence models, in particular copula-based statistical models. Since the 1990s, copulas have become recognized as the main tool to model arbitrary dependence (not necessarily linear) between random variables, with applications in many quantitative fields, including finance and risk management, insurance, hydrology, and health.

This project consists of three main research directions. The first subproject is related with recent developments in the theory of conditional copulas and conditional dependence models. These are models that quantify the influence of a random vector X on the dependence between two random variables Y1 and Y2 of interest – or more. This has applications in particular in finance where some leading financial assets can influence the dependence between other assets.

The goal is to recover the structure underlying a set of estimated conditional dependence functions, with a generalization towards conditional U-statistics.

The second subproject is to develop a theory of information geometry for copulas. Information geometry is a field at the interface between probability, statistics and geometry, and aims at getting geometrical information and structure on statistical problems, for example quantifying angles and directions in the space of probability measures – here in the space of copulas.

The third subproject is to integrate discrete random variables into the Pair-Copula Bayesian Networks (PCBNs) and develop structure learning algorithm. PCBNs models allow to decompose one difficult problem (the inference of a multivariate distribution/density) into smaller bivariate problems by using information on conditional in dependencies. Contrary to classical Gaussian Bayesian networks, the approach here relies on copulas with arbitrary margins.

These three projects are mostly independent and can be done in any order, also depending on the preferences of the successful candidate.

• You hold or will soon complete a MSc degree in Mathematical Statistics or equivalent.
• You have experience with programming in R. Experience with compiled languages such as C++ is a plus.
• You have high-level mathematical skills and are curious to invent new models and theories.
• You are fluent in English, both spoken and written.

Doctoral candidates will be offered a 4‑year period of employment in principle, but in the form of 2 employment contracts. An initial 1.5‑year contract with an official go/no‑go progress assessment within 15 months. Followed by an additional contract for the remaining 2.5 years assuming everything goes well and performance requirements are met.

Salary and benefits are in accordance with the Collective Labour Agreement for Dutch Universities, increasing from €3059 to €3881 gross per month, from the first year to the fourth year based on a full-time contract (38 hours), plus 8% holiday allowance and an end-of-year bonus of 8.3%.

As a PhD candidate you will be enrolled in the TU Delft Graduate School. The TU Delft Graduate School provides an inspiring research environment with an excellent team of supervisors, academic staff and a mentor. The Doctoral Education Programme is aimed at developing your transferable, discipline-related and research skills.

The TU Delft offers a customizable compensation package, discounts on health insurance, and a monthly work costs contribution. Flexible work schedules can be arranged.

Will you need to relocate to the Netherlands for this job? TU Delft is committed to make your move as smooth as possible! The HR unit, Coming to Delft Service, offers information on their website to help you prepare your relocation. In addition, Coming to Delft Service organises events to help you settle in the Netherlands, and expand your social network in Delft.

A Dual Career Programme is available, to support your accompanying partner with their…