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Stochastic Dependence via Copula: Nonparametric Estimation and Bootstrap Approximations

Startdatum: 09.07.2019 - 16:00
Enddatum: 09.07.2019 - 17:30
Adresse: MZH 6210
Organisator/Ansprechpartner: Prof. Jens Rademacher, Prof. Christine Knipping, (0421) 218-63745, (0421) 218-63721
  • Prof. Axel Bücher / Heinrich-Heine-Universitaet Düsseldorf

Copula functions characterize the stochastic dependence between random
variables with continuous margins. Respective models and methods have
been applied in fields like finance, risk management and hydrology, among
others. In this talk, we consider the vanilla nonparametric estimator, the
empirical copula, and its asymptotic properties. We review weak
convergence results and bootstrap approximations, alongside with some
typical applications.
                                                                        Einladung von Prof. Dickhaus