• An Introduction to Copulas by R. Nelsen, Springer 2007 (general reference for review of copulas and copula models)
• Elements of Copula Modeling with R by M. Hofert, I. Kojadinovic, M. Mächler and J. Yan, Springer 2018 (general reference for review of inference for copula models)
• Dependence Modeling with Copulas by H. Joe, CRC Press, Boca Raton, FL 2015
• Analyzing Dependent Data with Vine Copulas by C. Czado, Springer 2019
• Vine Copula Based Modeling by C. Czado and T. Nagler, Annu. Rev. Stat. Appl. 2022. 9:453–77

Students will acquire a good understanding of theoretical and practical aspects of modeling dependent multivariate data with copulas. Moreover, they will be able to analyze data and use these models with R.

at least 80% of the units

Classroom teaching; project and group work

The course assessment will be based on project work and on an oral presentation of the project.

Please log in with your WU account to use all functionalities of read!t. For off-campus access to our licensed electronic resources, remember to activate your VPN connection connection. In case you encounter any technical problems or have questions regarding read!t, please feel free to contact the library at readinglists@wu.ac.at.

This course builds up on the course "Dependence Modeling with Copulas" that I taught in the Winter Semester 2023/24. However, the first lecture will review the concepts and tools from the latter course that will be needed, so it is not necessary that students followed the course in the previous term. Still, some knowledge of copulas and copula models is welcome, albeit elementary.