CRM-CANSSI Workshop on New Horizons in Copula Modeling

December 15-18, 2014

Program
 

Monday, December 15, 2014
08:15 - 08:45
Registration (Room 5345) and Coffee & Croissants (Room 6245)

Session - Recent Developments in Copula Theory
Chair : C. Genest (McGill University)
Meeting room(s) : 6254

08:45 - 09:00
Introductory remarks
09:00 - 10:00
Claudia Czado
(Technische Universität München)
Introduction to vines and some recent applications
Abstract
10:00 - 10:30
Coffee break
Room(s) 6245
10:30 - 11:30
Matthias Scherer
(Technische Universität München)
Rethinking fatal shock models: using stochastic processes as mixture
Abstract

11:30 - 13:30
Lunch break

Session - Copulas in Action: Financial and Economic Concerns (A)
Chair : B. Rémillard (HEC)
Meeting room(s) : 6254

13:30 - 14:30
Andrew Patton
(Duke University)
High-dimensional copula-based distributions with mixed frequency data
Abstract
14:30 - 15:15
Valérie Chavez-Demoulin
(Université de Lausanne)
Generalized additive models for conditional dependence structures
Abstract
15:15 - 15:45
Coffee break
Room(s) 6245

Session - Session d’affiches / Poster Session
Meeting room(s) : 6245

15:45 - 17:15
Mohamed Belalia
(Université de Sherbrooke)
Tests of independence based on Bernstein empirical copula and density
Abstract
15:45 - 17:15
Félix Camirand-Lemyre
(Université de Sherbrooke)
Empirical conditional copula estimator properties under mixing conditions
Abstract
15:45 - 17:15
Marie-Pier Côté
(McGill University)
A copula-based risk aggregation model
Abstract
15:45 - 17:15
Lutz Gruber
(Technische Universität München)
Bayesian model selection of regular vine copulas
Abstract
15:45 - 17:15
Matthias Killiches
(Technische Universität München)
Block-maxima of vines
Abstract
15:45 - 17:15
Thomas Nagler
(Technische Universität München)
Multivariate kernel density estimation without curse of dimensionality
Abstract
15:45 - 17:15
Fodé Tounkara
(Université Laval)
Using Archimedean copulas to model dichotomous data
Abstract
15:45 - 17:15
Thibault Vatter
(Université de Lausanne)
Generalized additive models for conditional dependence structures

17:15 - 18:30
Welcoming Reception
Room(s) 6245

 

Tuesday, December 16, 2014
08:30 - 09:00
Coffee & Croissants
Room(s) 6245

Session - Copulas in Action: Financial and Economic Concerns (B)
Chair : E. Acar (University of Manitoba)
Meeting room(s) : 6254

09:00 - 10:00
Brendan Beare
(University of California, San Diego)
Dynamic modeling with copulas
Abstract
10:00 - 10:45
Giovanni Puccetti
(Università degli Studi di Firenze)
Extremal negative dependence concepts
Abstract
10:45 - 11:15
Coffee break
Room(s) 6245
11:15 - 12:15
Edward W. (Jed) Frees
(University of Wisconsin)
Analytics of insurance markets
Abstract

12:15 - 13:45
Lunch break

Session - Copulas in Action: Environmental Concerns (A)
Chair : J. Neshlehova (McGill University)
Meeting room(s) : 6254

13:45 - 14:45
Gianfausto Salvadori
(Università del Salento)
A multivariate approach to environmental- and structural-risk in hydrology
Abstract
14:45 - 15:15
Coffee break
Room(s) 6245
15:15 - 16:15
Salvatore Grimaldi
(Università degli Studi della Tuscia)
Copulas as a signature of hydrological response
Abstract
16:15 - 17:15
Philippe Naveau
(CEA-Orme des Merisiers)
Nonparametric estimation of the Pickands dependence function using Bernstein polynomials
Abstract

18:00
Banquet at "Le Cercle" (HEC Montréal)

 

Wednesday, December 17, 2014
08:30 - 09:00
Coffee & Croissants
Room(s) 6245

Session - Copulas in Action: Environmental Concerns (B)
Chair : J.-F. Quessy (Université du Québec à Trois-Rivières)
Meeting room(s) : 6254

09:00 - 10:00
Luis Mediero Orduna
(Universidad Politécnica de Madrid)
Multivariate regional frequency analysis in hydrology based on copulas
Abstract
10:00 - 10:30
Coffee break
Room(s) 6245
10:30 - 11:15
Benedikt Gräler
(Universität Münster)
Modelling spatio-temporal random fields locally with vine copulas
Abstract
11:15 - 12:00
Tobias Erhardt
(Technische Universität München)
Modeling spatial dependencies using spatial vine copula approaches
Abstract

12:00 - 13:30
Lunch break

Session - Copulas in Action: Health Concerns
Chair : R. Craiu (University of Toronto)
Meeting room(s) : 6254

13:30 - 14:30
Richard J. Cook
(University of Waterloo)
The utility of copula models in health research
Abstract
14:30 - 15:00
Coffee break
Room(s) 6245
15:00 - 16:00
Peter X. Song
(University of Michigan)
A goodness-of-fit test for the specification of semiparametric copula dependence models
Abstract
16:00 - 16:45
Lajmi Lakhal Chaieb
(Université Laval)
A rare-variant association test for non-normal/censored outcomes in family-based designs
Abstract

Session - Session d’affiches & coquetel / Poster Session & Cocktail
Meeting room(s) : 6245

16:45 - 18:30
Fateh Chebana
(INRS)
Probabilistic Gaussian copula regression model: application to multisite and multivariable downscaling
Abstract
16:45 - 18:30
Martin Durocher
(INRS)
Improving spatial prediction at ungauged basins with spatial copula framework
Abstract
16:45 - 18:30
Dorra Hammami
(INRS-ETE)
Multivariate analysis of maximum water levels in the Great Lakes
Abstract
16:45 - 18:30
Dhouha Ouali
(INRS)
Study of suspended sediment transport events using copulas
Abstract
16:45 - 18:30
Ana I. Requena
(Technical University of Madrid)
Extension of flood series by joining hydro-meteorological and bivariate copula-based models
Abstract
16:45 - 18:30
Daniel Kraus
(Technische Universität München)
Using $R$ vine copulas to explain dependencies of health care costs
Abstract
16:45 - 18:30
Marie-Hélène Toupin
(Université Laval)
On semi-parametric pairwise inference methods in spatial models based on copulas

 

Thursday, December 18, 2014
08:30 - 09:00
Coffee & Croissants
Room(s) 6245

Session - Copulas in Action: Emerging areas
Chair : L.-P. Rivest (Université Laval)
Meeting room(s) : 6254

09:00 - 10:00
Gal Elidan
(Hebrew University / Google)
Copulas and machine learning
Abstract
10:00 - 10:30
Coffee break
Room(s) 6245
10:30 - 11:15
Harry Joe
(University of British Columbia)
Conditional independence copula models with graphical representations
Abstract
11:15 - 12:00
Perspective on future work in copula modeling
12:00 - 13:15
Meeting of the CANSSI copula team

Last modified : Wednesday, December 10, 2014 15:50