CAST Seminar: Haijun Li

Join us at the CANSSI Ontario STatistics Seminars (CAST) with

Dr. Haijun Li

Professor
Department of Mathematics and Statistics
Washington State University

Free Hybrid (On Line/In Person) Event | Registration Required

Talk Title

Tail Dependence of Copulas

Abstract

Copulas are multivariate distributions with univariate margins uniformly distributed on [0, 1], utilized to study scale-invariant dependence among random variables. In this talk, we will explore the copula method for analyzing multivariate extremes, with a particular emphasis on the tail densities of copulas. We will demonstrate how these tail densities can effectively capture extremal dependence arising from both multivariate regular variation and multivariate rapid variation.

Speaker Profile

Dr. Haijun Li is a Professor in the Department of Mathematics and Statistics at Washington State University. He received his Ph.D. in Mathematics from the University of Arizona in 1994. Dr. Li’s current research focuses on applying copulas to analyze multivariate extremes.