CMStatistics

Network on Computational and Methodological Statistics

CMStatistics
Affiliates area
Dependence Models and Copulas

The "Dependence models and copulas (DMC)" team is concerned with all methodological and computational aspects of dependence models and copulas. Nowadays, an important task of multivariate statistics is the determination of a meaningful description of the relationships between different random variables that can be used in order to describe the phenomena of interest. A convenient way to do this consists of adopting a copula-approach that is based on a two-step procedure: first, the marginal distributions are fixed; then, the copula is chosen in order to describe the (rank-invariant dependence) among the considered variables. Copula-based models offer a convenient alternative to standard (linear, Gaussian) models and, due to their flexibility, have proved useful in a variety of domains. Applications range from 'classical' areas in which copulas have already been adopted successfully (finance, insurance, economics, marketing, etc.) to biological and environmental sciences (climate change, meteorology, hydrology, etc.).

Issues related to the team include fundamental aspects (especially from a mathematical point of view) as well as methodological aspects (inference for copulas, copula-based empirical processes, etc.). Additionally, computational aspects, in particular in relation with high-dimensional and asymmetric models, will be of interest and the development of specific software (preferably in an open source environment like R) is highly welcome.

Co-Chairs
Fabrizio Durante, University of Salento, Italy.
Ivan Kojadinovic, University of Pau, France.
Wolfgang Trutschnig, University of Salzburg, Austria.
Members
  1. Withz Aimable, Yuan Ze University, Taiwan.
  2. Concepción Ausín, Universidad Carlos III de Madrid, Spain.
  3. Alessandro Barbiero, Universita degli Studi di Milano, Italy.
  4. Brendan Beare, University of California, San Diego, United States.
  5. Domien Craens, UGent, Belgium.
  6. Claudia Czado, Technische Universität München, Germany.
  7. Enrique de Amo, University of Almeria, Spain.
  8. Maria Elena De Giuli, University of Pavia, Italy.
  9. Giovanni De Luca, University of Naples Parthenope, Italy.
  10. F Marta L Di Lascio, Free University of Bozen-Bolzano, Italy.
  11. Marta Disegna, University of Padova, Italy.
  12. Xiaoling Dou, Japan Womens University, Japan.
  13. Fabrizio Durante, University of Salento, Italy.
  14. Jean-David Fermanian, Ensae-Crest, France.
  15. Hayette Gatfaoui, IESEG School of Management, France.
  16. Jan Gorecki, Silesian University in Opava, Czech Republic.
  17. Oliver Grothe, Karlsruhe Institute of Technology, Germany.
  18. Isaudin Ismail, Universiti Tun Hussein Onn Malaysia, Malaysia.
  19. Piotr Jaworski, University of Warsaw, Poland.
  20. Hyoung-Moon Kim, Konkuk University, Korea, South.
  21. Ivan Kojadinovic, CNRS UMR 5142 LMA University of Pau, France.
  22. Satoshi Kuriki, The Institute of Statistical Mathematics, Japan.
  23. Dorota Kurowicka, Delft University of Technology, Netherlands.
  24. Oskar Laverny, Aix-Marseille Université, France.
  25. Chi Hyun Lee, University of Massachusetts Amherst, United States.
  26. Rosa Lillo, Universidad Carlos III de Madrid, Spain.
  27. Brunero Liseo, Sapienza Universita di Roma, Italy.
  28. Vinicius Litvinoff Justus, Universidad Carlos III de Madrid, Spain.
  29. Guanjie Lyu, University of Windsor, Canada.
  30. Etienne Marceau, Université Laval, Canada.
  31. Ivan Medovikov, Brock University, Canada.
  32. Marta Nai Ruscone, Università degli Studi di Genova, Italy.
  33. Maxime Nicolas, University College London, United Kingdom.
  34. Aristidis Nikoloulopoulos, University of East Anglia, United Kingdom.
  35. Yarema Okhrin, Universitaet Augsburg, Germany.
  36. Ostap Okhrin, Technische Universitaet Dresden, Germany.
  37. Patrick Osatohanmwen, Free University of Bozen-Bolzano, Italy.
  38. Roberta Pappada, University of Trieste, Italy.
  39. Elisa Perrone, Eindhoven University of Technology, Netherlands.
  40. Davide Petturiti, University of Perugia, Italy.
  41. Eugen Pircalabelu, Université Catholique de Louvain, Belgium.
  42. Silvia Romagnoli, University of Bologna, Italy.
  43. Gianfausto Salvadori, Universita del Salento, Italy.
  44. Rouven Schmidt, Clausthal University of Technology, Germany.
  45. Sedigheh Shams, Alzahra University, Iran.
  46. Songkiat Sumetkijakan, Chulalongkorn University, Thailand.
  47. Emiliano Valdez, University of Connecticut, United States.
  48. Cristiano Varin, Ca Foscari University of Venice, Italy.