Multivariate Dependence Modeling with Copulas

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The proposed research focuses on new statistical methodology for copula-based dependence models, which are now widely used in many fields, including environmental and health sciences, finance, insurance, and risk management. Dependence in multivariate data is a complex phenomenon and copula-based models are far more capable of accounting for it than traditional multivariate distributions. My research program is a continuation of my previous NSERC Discovery Grant, with a new focus on complex data structures and recent challenges in applications, such as high-dimensional data, discontinuous variables, or low-probability, high-impact events.