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Événements et séminaires - LSTA
Laboratoire de Statistique Théorique et Appliquée

Partenariats

05/05/2014 - Alex McNeil (Edimburgh)

Groupe de travail Théorie des valeurs extrêmes

Copula Families that Generalise the Archimedean Class

The standard examples of Archimedean copulas arise from multivariate shared frailty models in survival analysis. We will look at the connection between Archimedean copulas and simplex distributions and then show various ways of generalising the Archimedean family to obtain richer dependence models for real-world applications. This talk is based on joint work with Johanna Neslehova and Marius Hofert.