Lecture

Copulas: Properties and Applications

Description

This lecture covers copulas, a powerful tool in multivariate statistics, starting with their definition and basic properties, examples, and meta distributions. It explores further properties such as comonotonicity, countermonotonicity, and exchangeability. The lecture delves into linear correlation, fallacies, and Hoeffding's identity. It also discusses copula densities, conditional distributions, and the concept of survival copulas. The presentation concludes with the theorem on attainable correlations and their implications in modeling dependence structures.

About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.