Research Project Title: Topics in Factor Copula Modelling
Research Project Summary: While factor copula models allow a statistician to reduce the number of parameters to be estimated, and hence the computational burden, some gaps in the literature remain. To begin with, hitherto no model selection mechanism has been proposed to discriminate both between the number of factors, and between the competing types of dependence structures relating the latent factors to the observed variables.
Moreover, factor copula models are a useful tool to model data with asymmetric tail dependence. While joint multivariate tail dependence measures do exist for high-dimensional data, their use in applications is limited due to a lack of observational data for joint extreme events. Thus, finding a measure of tail dependence that converges to the well-known tail dependence coefficient, even when observational data is scarce, is of great interest from both a theoretical as well as a practical point of view.
Student Profile: I started working as a PhD candidate at the University of Melbourne in March 2020, in a joint PhD programme with the University of Pau et des Pays de l’Adour. Before moving to Melbourne, I worked as a teaching assistant in econometrics at Ghent University (Belgium) and as a private student coach. Prior to this, I obtained a Master of Science in Statistics from the University of Louvain-la-Neuve (Belgium) and a Master of Science in Economics from Ghent University. Furthermore, I took part in an Erasmus exchange programme between Ghent University and the University of Paris-Est de Créteil (France).
My research is funded by the Melbourne Research Scholarship and the Xing Lei Scholarship in Mathematics and Statistics.
In my leisure time, I like to go cycling and jogging and I enjoy cooking and reading.
Project Duration: 2020-2023
Supervisors: The University of Melbourne: Dr Pavel Krupskiy, Associate Professor Mark Holmes / Université de Pau et des Pays de l’Adour: Professor Ivan Kojadinovic
Home University: The University of Melbourne
Partner University: Université de Pau et des Pays de l’Adour