Indiana University Bloomington

2016

Statistics S681
Statistical Models Of Dependence

Contact: Qingsong Shan qingshan@indiana.edu
Class Time: 2:30-3:45 BH 139
Class Days: Tu, Th
Sequence:
Pre-Requisites: College level statistical courses
Algebra Required:
Calculus Required: Need to have basic knowledge of calculus(e.g. integration, partial derivative).
Instructor: Qingsong Shan qingshan@indiana.edu
Syllabus: No Syllabus Avaliable
Keywords: copula function, dependence measures, extreme values, parametric and non parametric estimation
Description: The purpose of this course is to give an introduction of dependence modeling using copulas. Topics will include:
1. Introduction of copulas and its properties.
2. Dependence measures.
3. Extreme value theorem and tail dependence.
4. Parametric copula families.
5. Fitting copulas(mainly nonparametric estimation).
6. Conditional and multivariate copulas.
Books: Nelsen, R. (1999). An Introduction to Copulas. Springer Verlag.
Lecture notes and journal articles provided by the instructor.
Applied/Theoretical: Applied
Formal Computing Lab: No
Software: R
Problem Sets: Weekly
Data Analysis:
Presentation:
Exams: Each student write a paper on a topic related to copulas.