School Seminars and Colloquia

Pair-copula constructions of multiple dependence

Complex Systems Seminar

by Professor Claudia Czado

Institution: Technische Universitaet Muenchen
Date: Mon 1st October 2007
Time: 3:15 PM
Location: Theatre 2, ICT Building (111 Barry Street, Carlton)

Abstract: Building on the work of Bedford, Cooke and Joe, we show how multivariate
data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate distribution and propose a method to perform inference. The model
construction is hierarchical in nature, the various levels corresponding to the incorporation of more variables in the conditioning sets, using
pair-copulae as simple building blocks. Pair-copula decomposed models
also represent a very flexible way to construct higher-dimensional copulae. We apply the methodology to a financial data set. This is joint work with K. Aas, A. Frigessi, H. Bakken and A. Min.

For More Information: Ass Prof Konstantin Borovkov