Michal Dibala presents Modeling dependence between random variables using copulas
On 2016-05-19 11:00
at G205, Karlovo náměstí 13, Praha 2
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.
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.