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Dependence Modelling using Vine Copulas: Theory and Applications 5 hp

Undervisningen bedrivs på engelska.

Kursinnehåll

The 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.

Förkunskapskrav

Admitted to a doctoral program in statistics or a related subject of a recognized business school or
university.

Utbildningsnivå: Forskarnivå XXX
Kurskod/Ladokkod: FJDMV30
Kursen ges vid: Jönköping International Business School

Tidigare och pågående kurstillfällen

Typ av Kurs
FORS
Studieform
Campus
Termin
Hösten 2020: vecka 35 - vecka 45
Studietakt
33%
Undervisningsspråk
Engelska
Ort
Jönköping
Kurstid
Dag
Examinator
Kristofer Månsson
Kursplan
HTML  PDF
Anmälningskod
HJ-FJ036