Collaborative Research Team Project #01

Copula Dependence Modeling: Theory and Applications

This project explores the theory and applications of copula dependence modeling, with a focus on dependence in high dimensions.

Research Category: Information Sciences

Why Study Copula Modeling?

Copulas have emerged as a tool for capturing and modeling dependence since the mid-1980s. They’ve played an important role in a range of applications, from finance and genetics to hydrology. 

Existing data-driven methods for conditional copula models are suitable only in low-dimensional problems, and easily become impractical as dimension increases. This project aims to tackle computational challenges in high dimensions.

Areas of Exploration

Multivariate Copula Models

Includes investigating dimension-reduction techniques and variable-merging methods, as well as tests to identify conditional independence among groups of variables. 

Feature Interpretation

Includes investigating the interpretation of dependence features in high-dimensional data. This challenge requires careful study of numerical and graphical representations.

Solving Global Challenges

Research Team’s Goals

To develop methodology that will enable flexible inference of conditional dependencies in multivariate copula models. This includes semi- and non-parametric strategies.

This research has the potential to impact finance and genetics applications, in Canada and worldwide. To this end, the collaborators include world-class, statistical scientists and prominent industry partners.

Related Events

Related Events

Workshop: New Horizons in Copula Modeling | December 15-18, 2014 at Centre de Recherches Mathématiques (CRM)

People Behind the Project

Project Team

Louis-Paul Rivest, Team Leader | McGill University

Christian Genest, Team Leader | McGill University


Elif Acar | University of Manitoba

Radu Craiu | University of Toronto

Harry Joe | University of British Columbia

Johanna Nešlehová | McGill University

Jean-François Quessy | Université du Québec à Trois-Rivières

Bruno Rémillard | HEC Montréal

Claudia Czado | Technische Universität München

Anne-Catherine Favre | Laboratoire d’Étude des Transferts en Hydrologie et Environnement

Anne-Laure Fougères | Université Claude Bernard Lyon 1

Marius Hofert | ETH Zürich

Industry partners include the Banque Nationale du Canada, Bank of Montreal and Institut de recherche d’Hydro-Québec.

Relevant Publications

Contributions by other members of the team:


Copula Dependence Modeling: Theory and Applications is a Collaborative Research Team project. This program tackles complex problems through a three-year research and training agenda.

CANSSI offers approximately $200,000 for this type of project, which requires a team of faculty, postdocs, and students.