This biannual learning unit is not being organized in 2020-2021 !
At the end of this learning unit, the student is able to :
By the end of the course, the student will have a working knowledge on copula models and their use in modelling dependence between random variables. He will be able to select,
calibrate, and validate a copula model and use the fitted model to answer questions related to multivariate data: calculation of risk measures, prediction, decision making.
2 Models: Archimedean copulas, extreme-value copulas, elliptical copulas
3 Inference: Nonparametric inference via the empirical copula, parametric inference via measures of association and likelihood-based parametric inference
The course provides a mixture of theory, parametric models, and implementation in R.
Due to the COVID-19 crisis, the information in this section is particularly likely to change.During the lectures, the teacher motivates and introduces the main concepts. The students then work independently or in groups to solve the questions in the text. In the meantime, the teacher interacts with the students personally helping them advance at their own pace.
Due to the COVID-19 crisis, the information in this section is particularly likely to change.Intermediate tests (8/20)
There will be two tests, the first one on chapter 1 and the second one on chapter 2. The tests will take place during the lectures. The tests are compulsary. Each test will count for 4 points of the final grade, so 8 points out of 20 (40%) in total. The questions will concern the exercises of type ‘M’ (calculations related to particular models) in the lecture notes. The tests are closed-book.
Project and oral exam (12/20)
The material of chapter 3 will be examined via a project assignment. Students will be required to analyze aspects of dependence in a dataset using techniques covered in the course. They describe the analysis and its results in a short text. Specific instructions will be communicated at the start of chapter 3. This text and any supplementary files are to be submitted via MoodleUCL by the start of the exam period.
The oral examination will center around the project submitted by the student.
- Syllabus "LSTAT2410 - Copulas: models and inference" (J. Segers)
- syllabus on moodle