Stochastic Dependence via Copula: Nonparametric Estimation and Bootstrap Approximations | Prof. Dr. Axel Bücher (Heinrich-Heine-Universität 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