Workshop "Copulas and Extremes" (november, 19-20th, 2013)

Program

Tuesday, 19th

9:00 - 9:30 Welcome coffee

9:30 - 12:00 Session I, chair Anne-Catherine Favre.

- I. Kojadinovic (Université de Pau, France) "Some (nonparametric) tests for copulas: Tests of independence, exchangeability, extreme-value dependence, goodness-of-fit, for change-point detection, ..." [slides.pdf].

- K. Aas (Norwegian Computing Center, Norway) "Pair-copula constructions - even more flexible than copulas" [slides.pdf].

- F. Durante (Free University of Bozen-Bolzano, Italy) "Patchwork copulas" [slides.pdf].

12:00 - 14:00 Lunch

14:00 - 15:40 Session II, chair Juliette Blanchet.

- C. Dombry (Université de Franche-Comté, France) "Strong mixing properties of max-stable random fields" [slides.pdf].

- M. Ribatet (Universités Lyon 1 & Montpellier 2, France) "Statistical Modelling of Spatial Extremes" [slides.pdf].

15:40 - 16:00 Coffee break

16:00 - 17:40 Session III, chair Marianne Clausel.

- T. Opitz (Université Montpellier 2, France) "Bayesian modelling of financial extremes in high dimension" [slides.pdf].

- A. Sabourin (Telecom ParisTech, France) "Dirichlet mixtures for multivariate extremes: model re-parametrization and Bayesian inference with censored data" [slides.pdf].

Wednesday, 20th

9:00 - 10:40 Session IV, chair Clémentine Prieur.

- G. Salvadori (Università del Salento, Italy) "Multivariate return periods in earth sciences: a copula approach".

- G. Mazo (Inria Grenoble Rhône-Alpes, France) "A nonparametric class of non-exchangeable copulas in high dimension and its estimation".

10:40-11:00 Coffee break

11:00-12:40 Session V, chair Stéphane Girard.

- N. Uyttendaele (Université Catholique de Louvain, Belgique) "Nested Archimedean copulas: structure estimation and goodness of fit" [slides.pdf].

- S. Schenk (Technische Universität München, Germany) "Exchangeable exogenous shock models and a copula-characterization of self-decomposability on the half-line".

12:40 Lunch

Book of abstracts

The abstracts (pdf) may be downloaded here.

Organization

Stéphane Girard and Marianne Clausel with financial support from CNRS via PEPS projects.

How to assist?

- The registration is free, but necessary: here.

- The workshop takes place at the "IRMA tower", room 1, 51 rue des Mathématiques, on the campus.

- To come from Grenoble railway station, take line B of the tramway in the direction "Gières - Plaine des sports" and stop at "Bibliothèques Universitaires". The travel lasts about 20 minutes.

- Campus map

- Bus and tramway