Lecture
Copulas and Margins: Extremal Dependence in Statistics
Description
This lecture explores copulas and margins in statistics, focusing on extremal dependence. It covers topics such as the choice of marginal distributions for copulas, logistic copulas, Kendall's tau for measuring dependence, extremal correlation, and the multivariate Student t distribution. The lecture also delves into the concept of extremal correlation, asymptotic dependence, and the strength of dependence for different distributions.
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