Dependence Modelling using Vine Copulas: Theory and Applications 5 hpUndervisningen bedrivs på engelska.
KursinnehållThe course starts with a background chapter on multivariate and conditional distributions
and copulas. This includes the parametric classes of elliptical, Archimedean and extreme value copulas. Their
parameter estimation and graphical tools for the identification of sensible bivariate copula models to
data are presented. The decomposition and construction principle of drawable (D-), canonical (C-) and
regular (R-) vines is developed and discussed. The course concludes with recent extensions of vines
including advances in estimation, model selection, for special data structures and reviews major applications
in finance, life and earth sciences, insurance and engineering. It also provides an overview of the available
software, in particular R, to select, estimate and visualize vinebased models.
FörkunskapskravAdmitted to a doctoral program in statistics or a related subject of a recognized business school or
Utbildningsnivå: Forskarnivå XXX
Kursen ges vid: Jönköping International Business School