Online Program Home
My Program

Abstract Details

Activity Number: 137 - Introductory Overview Lecture: Multivariate Data Modeling with Copulas
Type: Invited
Date/Time: Monday, July 30, 2018 : 10:30 AM to 12:20 PM
Sponsor: JSM Partner Societies
Abstract #330997
Title: Part 2: Copula Regression, Hierarchical Structures, and Dimension Reduction Through Clustering
Author(s): Johanna G. Neslehova*
Companies: McGill University

In the second part, selected examples of advanced copula modeling will be discussed. Ways of combining GLMs with copulas will be illustrated. Various strategies for copula modeling of high-dimensional data will also be sketched, with special emphasis on hierarchical dependence structures and sparsity. Finally, techniques for infering a hierarchical dependence structure from data will be outlined. Illustrations will be drawn from the fields of insurance, finance, and hydrology.

Authors who are presenting talks have a * after their name.

Back to the full JSM 2018 program