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Tails of copulas, une lecture graphique
Suite à une formation que je faisais en fin de semaine à Brest (les slides sont ici et là), je voulais revenir sur les histoires de tails of copulas, pour reprendre le titre de l’article (ici) de Gary...
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Copulas and tail dependence, part 1
As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago). Slides astin from Arthur Charpentier Joe...
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(nonparametric) copula density estimation
Today, we will go further on the inference of copula functions. Some codes (and references) can be found on a previous post, on nonparametric estimators of copula densities (among other related...
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Maximum likelihood estimates for multivariate distributions
Consider our loss-ALAE dataset, and – as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following, > library(evd) >...
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Holt-Winters with a Quantile Loss Function
Exponential Smoothing is an old technique, but it can perform extremely well on real time series, as discussed in Hyndman, Koehler, Ord & Snyder (2008)), when Gardner (2005) appeared, many believed...
View ArticleGraduate Course on Advanced Tools for Econometrics (2)
This Tuesday, I will be giving the second part of the (crash) graduate course on advanced tools for econometrics. It will take place in Rennes, IMAPP room, and I have been told that there will be a...
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