Inference and model selection for pair-copula constructions
Elif F. Acar · Sep 16, 2011
Date: 2011-09-16
Time: 15:30-16:30
Location: BURN 1205
Abstract:
Pair-copula constructions (PCCs) provide an elegant way to construct highly flexible multivariate distributions. However, for convenience of inference, pair-copulas are often assumed to depend on the conditioning variables only indirectly. In this talk, I will show how nonparametric smoothing techniques can be used to avoid this assumption. Model selection for PCCs will also be addressed within the proposed method.
Speaker
Elif F. Acar is a Postdoctoral Fellow in the Department of Mathematics and Statistics at McGill University. She holds a Ph.D. in Statistics from the University of Toronto.