Tales of tails, tiles and ties in dependence modeling
Johanna Neslehova · Oct 4, 2019
Date: 2019-10-04
Time: 16:00-17:00
Location: CRM, UdeM, Pav. André-Aisenstadt, 2920, ch. de la Tour, salle 1355
Abstract:
Modeling dependence between random variables is omnipresent in statistics. When rare events with high impact are involved, such as severe storms, floods or heat waves, the issue is both of great importance for risk management and theoretically challenging. Combining extreme-value theory with copula modeling and rank-based inference yields a particularly flexible and promising approach to this problem. I will present three recent advances in this area. One will tackle the question of how to account for dependence between rare events in the medium regime, in which asymptotic extreme-value models are not suitable. The other will explore what can be done when a large number of variables is involved and how a hierarchical model structure can be learned from large-scale rank correlation matrices. Finally, I won’t resist giving you a glimpse of the notoriously intricate world of rank-based inference for discrete or mixed data.