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Michal Dibala
presents
Modeling dependence between random variables using copulas
 
On 2016-05-19 11:00 at G205
 
The concept of copulas is normaly used to model the dependence structure
between
two or more random variables. Random variables are transformed to the unit
interval I = [0, 1] by using quasi-inverse transformation. As a result we get a
normalised multivariate distribution function called the copula. Copulas
uniquely determine the dependence structure of multiple random variables. The
aim of the presentation is to introduce the concept and its applications.
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