Lecture

Copulas: Properties and Applications

In course

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Description

This lecture covers the properties and applications of copulas, starting with the definition and properties of copulas, such as independence and comonotonicity. It then delves into examples like the Gaussian copula and conditional distributions of copulas. The lecture concludes with a discussion on coefficients of tail dependence and their significance in measuring extremal dependence.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_25440xmw

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Mathematics

Probability theory: Topics in probability theory

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