Halmos College Presents Math Symposium on Standard Copulas, Nov. 7

On Thursday, November 7, at 12:25 p.m. Dragan Radulovic, Ph.D. will present his lecture entitled, “How good are standard copulas anyway?” in Parker Building Room 338. Dr. Radulovic is a professor at Florida Atlantic University.

His lecture will raise a question: How good are standard copulas in capturing the dependency structure? To this end we will offer a series of simulated/numerical examples demonstrating that, more often than not, standard model copulas do not capture the underlying dependency structure. We believe that copula models, unlike other statistical tools, are too readily accepted by practitioners. Rigorous, goodness-of-fit tests are commonly replaced by off-hand statements like: “it works well”. To this end, the second part of the talk offers a theoretical result, an umbrella type theorem tailored for creating numerous Goodness of Fit tests for copulas.

Halmos College of Natural Sciences and Oceanography department of mathematics hosts the mathematics colloquium series in Parker Building, Room 338. For more information about the math colloquium series, please contact mathematics faculty member Jing Chen, Ph.D. (jchen1@nova.edu) or Evan Haskell, Ph.D. (haskell@nova.edu).