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An introduction to vine copulas and their applications - Nicole Barthel (Technical University of Munich)
Start: 14/05/2019, 10:30
End: 17/05/2019, 11:30
Contact:Elizna Huysamen - 021 808 3244
Location: Dept Statistics, Van der Sterr building, Cnr Bosman & Victoria street, Entrance 5, Room 2053, Stellenbosch

Copulas are multivariate distribution functions with standard uniformly distributed marginal distributions. The key to copula theory is Sklar’s Theorem. It states that a copula is a dependence function, which interconnects the univariate marginal distribution functions of a random vector and thereby models its joint distribution function. As a direct consequence, the individual probabilistic behaviour of random variables and their inherent dependence can be modelled separately.

The talk aims to provide a basic introduction to copula theory focusing on how copula models can be used for modelling the dependence structure in data at hand. Supported by several data examples including applications in finance and biomedicine the class of regular vine copulas, which allows flexible dependence modelling even in high dimensions, will be introduced.