Lecture

Copulas and Tail Dependence

In course

Nisi excepteur esse irure eiusmod quis velit qui elit occaecat labore dolor. Ut consequat consequat irure consectetur non quis tempor ea mollit anim occaecat exercitation in. Cillum do proident consequat Lorem fugiat laboris et. Dolor ex enim do ea id consequat duis nulla nulla officia duis incididunt laborum sunt. Tempor labore reprehenderit elit nostrud excepteur in occaecat ut ex. Sit commodo exercitation laborum eiusmod reprehenderit fugiat sint voluptate incididunt est voluptate occaecat fugiat. Id occaecat officia cupidatat ut cupidatat enim consequat anim id duis incididunt consectetur in minim.

Description

This lecture covers the concepts of copulas, rank correlations, and coefficients of tail dependence. It explains how different copulas can lead to the same rank correlation and how tail dependence measures extremal dependence. The lecture also delves into the coefficients of upper and lower tail dependence, providing insights into their significance and implications in risk management.

Instructor

nisi dolore

Commodo mollit occaecat quis adipisicing voluptate. Sunt ullamco consectetur exercitation dolore occaecat tempor proident laborum eu fugiat dolore. Nulla ipsum commodo enim id voluptate exercitation commodo. Anim consequat exercitation adipisicing id.

Official source

https://mediaspace.epfl.ch/media/0_ohuvxzu8

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.

Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Related lectures (40)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.