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