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401-4636-08L 4 Credits DR , MSC , NDS D-USYS , D-MTEC , D-BAUG , D-MAVT , D-INFK , D-MATH , D-BIOL , D-ERDW , D-GESS , D-ITET , D-CHAB

An Introduction to Copulas

Lecturers & Examiners: Dr. Johana Neslehova
VVZ CR n/a

Last Updated: 2026-02-05 15:29:50

Abstract

Content of this course are copula based models for multivariate data. The first part establishes basic theory, introduces selected copula families, measures of association, dependence concepts and stochastic orderings. Second part of the course will be devoted to parametric and semiparametric copula estimation and to testing goodness-of-fit and independence.

Objective

Multivariate data abound in many applications including biology, health sciences, finance, risk management and insurance or environmental science. The goal of this couse is to introduce copula-based models for such data, which are an appealing alternative to classical approaches such as generalized linear models. We will focus primarily on statistical inference and explore how copulas are useful in the quantification of dependence and allow one to think beyond linear correlation.

Content

Basic introduction to the theory of copulas Selected families of copulas including elliptical, extreme value and Archimedean Measures of dependence and association Dependence concepts and stochastic orderings Parametric and semiparametric copula estimation Goodness-of-fit tests and copula-based tests of independence

Resources

Lecture Notes

A script will be available

Literature

Roger B. Nelsen: An Introduction to Copulas. Springer Series in Statistics, 2006, 2nd edition Harry Joe: Multivariate Models and DependenceConcepts. Chapman & Hall, 1997 Selected papers on statistical inference for copulas a detailed list of which will be made available.

General Information

Language
English
Levels
DR , MSC , NDS

Examination

Type
session examination
Mode
oral 20 minutes

Course Components

Type Title Time & Place Hours
lecture An Introduction to Copulas
  • Tue 15:15-17:00 (ML F 39)
2 h weekly

Offered In