Information détaillée concernant le cours

Titre

École d’été 2018

Dates

02-05 Septembre 2018

Organisateur(s)

M. Yves Tillé, UNINE (Président)

Mme Caroline Gillardin, UNINE (coordinatrice)

Intervenant(s)

Prof. Yoav Benjamini, Tel Aviv University (invité par l'EPFL)

Prof. Claudia Czado, Technische Universität München

Prof. Ingrid Van Keilegom, Katholieke Universiteit Leuven

 

Description

Professor Yoav Benjamini

(Tel Aviv University)

Title : Selective inference

 

Professor Claudia Czado

(Technische Universität München)

Title : Analyzing dependent data with vine copulas

This course is designed for graduate students and researchers who are interested in using
copula based models for multivariate data structures. It provides a step to step introduction to the class of vine copulas and their statistical inference. This class of flexible copula models has become very popular in the last years for many applications in diverse fields such as finance, insurance, hydrology, marketing, engineering, chemistry, aviation, climatology and health.

The popularity of vines copulas is due to the fact that it allows in addition to the separation of margins and dependence by the copula approach, tail asymmetries and separate multivariate component modeling. This is accommodated by constructing multivariate copulas using only bivariate building blocks which can be selected independently. These building blocks are glued together to valid multivariate copulas by appropriate condition-
ing. Thus also the term pair copula construction was coined by Aas et al. (2009). This approach allows for flexible and tractable dependence models in dimensions of several hundred, thus providing a long desired extension of the elliptical and Archimedean copula
classes. It forms the basis of new approaches in risk, reliability, spatial analysis, simulation,
survival analysis and data mining to name a few.

The course starts with background on multivariate and conditional distributions and copulas. Basic bivariate dependence measures are then introduced.  Bivariate parametric classes of elliptical, Archimedean are then introduced and graphical tools for the identification of sensible bivariate copula models to data are developed. The decomposition and construction principle of vines is first given in three dimensions and then extended to the special cases of draw able (D-) and canonical (C-) vines. The general case of regular (R-) vines is developed. Simulation algorithms and parameter estimation methods will be constructed. Model selection methods for vine models are then considered. The short course closes with a case study characterizing the dependence among German assets contained in the DAX index. Computations are facilitated using the freely available package VineCopula of Schepsmeier et al. (2017) package in R (see R Core Team (2017)). Resources on vine models can be found under
vine-copula.org

 

Professor Ingrid Van Keilegom

(Katholieke Universiteit Leuven)

Title : Survival Analysis

Lieu

Villars-sur-Ollon

Information
 Eurotel Victoria Villars
Route des Layeux, 1884 Villars-sur-Ollon (Tél +41 24 495 31 31)

Site Eurotel : http://www.eurotel-victoria.ch/villars/fr Accès à Villars :

  • EN VOITURE : Autoroute A9, direction Grand St-Bernard, sortie Aigle. Puis suivre les panneaux routiers « Ollon » puis « Villars ».

 

  • EN AVION : Aéroports internationaux de:

- Genève (120 km) ou Zürich (250 km) ou Bâle (200 km)
- puis EN TRAIN  (HORAIRE DES TRAINS - RAILWAY TIMETABLE)

  • EN TRAIN ET BUS : Suisse Train schedule : From: Geneve airport, To: Villars-sur-Ollon, gare. Trains directs jusqu'à Aigle. Ensuite bus 14429 (Aigle - Villars-sur-Ollon gare).

 

  • EN TRAIN : Suisse Train schedule : From: Geneve airport, To: Bex, gare. Trains directs jusqu'à Bex. Changer de train à Bex jusqu'à Villars.


Durée des trajets:
Lausanne - Aigle (30 minutes), Aigle - Villars-sur-Ollon (35 minutes). Visa pour la Suisse (Swiss Online Visa application) Météo en suisse (meteoswiss.admin.ch)

Frais

Doctorant CUSO chambre double: 200 CHF
Doctorant CUSO chambre simple: 350 CHF
Post-doctorant CUSO chambre double: 300 CHF
Post-doctorant CUSO chambre simple: 450 CHF
Professeur CUSO chambre double: 400 CHF
Professeur CUSO chambre simple: 550 CHF
Non CUSO universitaire chambre double: 850 CHF
Non CUSO universitaire chambre simple: 1000 CHF
Non CUSO privé chambre double: 1300 CHF
Non CUSO privé chambre simple: 1500 CHF Lors de votre inscription, merci de bien vouloir indiquer dans la zone commentaire si vous désirez une chambre simple, ou double et le nom de la personne avec qui vous souhaiteriez partager votre chambre. Dans le cas où rien n'est indiqué, une chambre simple sera réservée.

Inscription

Versement sur compte postal:

CUSO
CCP 12-1873-8
Neuchâtel
BIC : POFICHBEXXX
IBAN : CH0509000000120018738 Merci d'écrire votre nom lors du paiement. Thank you to write your name on the payment wording.

Places

48

Délai d'inscription 27.08.2018
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