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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
Keywords:
Abstract:

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.

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