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Highlights
Sponsored by
2017 CRoNoS Winter Course on Copula-based modeling with R
Dates: 13-14 December 2017.
Venue: TBA
Room: TBA
Link with tutorials: Modules II and III will constitute the tutorials of the joint CFE-CMStatistics conference. Participants to the conference can register separately for the tutorials and for Module I.

Participants will be expected to have their own laptop with the latest versions of R and the R packages copula, lcopula, npcp, qrmtools, rugarch, timeSeries and xts installed.

Grants

PhD students and Early Career Investigators (who have obtained their PhD degree in 2010 or after) can apply for a limited number of grants of 500 Euro for accommodation and traveling and will have their fees for the course waived.

  • In order to apply for the grants candidates should submit their CV by e-mail to cronos.cost@gmail.com. COST policies on geographical distribution and gender-balance will be taken into account to grant the applicants. Priority will be given to applicants attending the CFE-CMStatistics conference.
  • 1st deadline for applications: 15th July 2017.
  • Granted candidates will be informed by e-mail in about two weeks after the deadline and must send their flight tickets and accommodation booking 1 week after the notification to cronos.cost@gmail.com to secure their grants. Otherwise, their grants will be revoked and assigned to other candidate.
  • The granted candidates must attend all the sessions of the course in order to obtain their grants. Participants must bring their own laptop and have R installed.
Organizers and sponsors

Organized by the CRoNos COST Action IC1408 represented by
Erricos J. Kontoghiorghes and Ana Colubi.

Sponsored by COST

Tentative programme

Wednesday, 13 December 2017

  • 10:45 – 11:00 Registration and opening
  • 11:00 – 12:30 Session 1.1 - Module I
  • 12:30 – 14:00 Lunch break
  • 14:00 – 16:00 Session 1.2 - Module I
  • 16:00 – 16:30 Coffee break
  • 17:00 – 19:00 Session 1.3 - Module I

Thursday, 14 December 2017

  • 09:00 – 11:00 Session 1.4 - Module I
  • 11:00 – 11:30 Coffee break
  • 11:30 – 12:30 Session 1.5 - Module I
  • 12:30 – 14:00 Lunch break
  • 14:00 – 16:00 Session 1.6 - Module I
  • 16:00 – 16:30 Coffee break
  • 16:30 – 18:30 Session 1.7 - Module I

Module I. Copula-based modeling of continuous multivariate distributions with R
Lecturers: Prof. Marius Hofert, University of Waterloo, Canada, and Prof. Ivan Kojadinovic, University of Pau, France.
Sessions 1.1 to 1.7.
Duration: 13 hours.

Summary: Copulas are multivariate distribution functions with standard uniform univariate margins. They are increasingly applied to modeling dependence among random variables in probabilistic and statistical models arising in fields such as risk management, actuarial science, insurance, finance, engineering, hydrology, climatology, meteorology, to name a few. The aim of this short course is to introduce the main theoretical results about copulas and to show how statistical modeling of multivariate continuous distributions using copulas can be carried out in the R statistical environment.

Sessions 1.1 and 1.2: Basic introduction to copulas and their main properties, along with the most important theoretical results.

Session 1.3: The most widely used copula classes, their corresponding sampling procedures, along with selected copula transformations that are important for practical purposes.

Sessions 1.4 and 1.5: Estimation of copulas from a parametric, semi-parametric and non-parametric perspective.

Sessions 1.6 and 1.7: Graphical diagnostics, statistical tests and model selection.

All the presented concepts will be illustrated by stand-alone and reproducible R examples involving either synthetic or real data. Advanced topics such as dynamic copula models or vine copulas are not covered.